Extreme and Systemic Risk Analysis

Description: Extreme and Systemic Risk Analysis Please note: this item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days). A Loss Distribution Approach Author(s): Stefan Hochrainer-Stigler Format: Hardback Publisher: Springer Verlag, Singapore, Singapore Imprint: Springer Verlag, Singapore ISBN-13: 9789811526886, 978-9811526886 Synopsis This book is about how extreme and systemic risk can be analyzed in an integrated way. Risk analysis is understood to include measurement, assessment as well as management aspects. Integration is understood as being able to perform risk analysis for extreme and systemic events simultaneously. The presented approach is based on Sklar's theorem, which states that a multivariate distribution can be separated into two parts - one describing the marginal distributions and the other describing the dependency between the distributions using a so-called copula. 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. In that way, extreme and systemic risk can be analyzed independently as well as jointly across several scales. The book is intended for a large audience, and all techniques presented are guided with examples and applications with a special focus on natural disaster events. Furthermore, an extensive literature and discussion of it are given in each chapter for the interested reader.

Price: 89.64 GBP

Location: Aldershot

End Time: 2024-05-04T08:08:12.000Z

Shipping Cost: 39.12 GBP