Heavy Tails And Copulas: Topics In Dependence Modelling In Economics And Finance - Hardcover

Rustam Ibragimov; Artem Prokhorov

Hardcover

ISBN 10: 9814689793 ISBN 13: 9789814689793

Publisher: World Scientific Publishing Co Pte Ltd, 2017

Synopsis

This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails two particularly valuable tools of today's research in economics, finance, econometrics and other fields in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence.

About this title

Review

Overall, the book is highly technical, including full mathematical proofs of the results stated. Potential readers are post-graduate students or researchers in Quantitative Risk Management willing to have a manual with the state-of-the-art on portfolio diversification and risk aggregation with heavy tails, including the fundamental theorems as well as collateral (but most useful) results on majorization and copula theory. --Quantitative Finance

Edition details

• Publisher: World Scientific Publishing Co Pte Ltd
• Publication date: 2017
• Language: English
• ISBN 10: 9814689793
• ISBN 13: 9789814689793
• Binding: Hardcover
• Number of pages: 304