Extreme Financial Risks

DOI10.1007/b138841zbMath1093.62098OpenAlexW4235374062MaRDI QIDQ3379404

Publication date: 6 April 2006

Full work available at URL: https://doi.org/10.1007/b138841

measures of dependence concordance measures multivariate distribution of asset returns collective extreme risks dependence structure of asset returns financial dependences with copulas marginal distributions of returns measuring extreme dependences

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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