Extreme and systemic risk analysis: a loss distribution approach
Auteur :
Hochrainer-Stigler, Stefan
Éditeur :
Springer Verlag, Singapore
ISBN :
9789811526916
Date de publication :
7 avr. 2021
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Singapour
This book is about how extreme and systemic risk can be analyzed in an integrated way. It is suggested to reinterpret Sklar's theorem from a system or network perspective, treating copulas as a network property and individual, including extreme, risk as elements within the network.