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The book presents an innovative framework for analyzing extreme and systemic risk through an integrated approach, emphasizing simultaneous measurement, assessment, and management. It reinterprets Sklar's theorem from a network perspective, treating copulas as network properties that allow for independent and joint analysis of risks. With a focus on natural disasters, the text is designed for a broad audience, featuring practical examples and applications, along with comprehensive literature discussions in each chapter to enrich the reader's understanding.
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Extreme and Systemic Risk Analysis, Stefan Hochrainer-Stigler
- Language
- Released
- 2021
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- (Paperback)
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- Subtitle
- A Loss Distribution Approach
- Language
- English
- Authors
- Stefan Hochrainer-Stigler
- Publisher
- Springer Nature Singapore
- Released
- 2021
- Format
- Paperback
- Pages
- 168
- ISBN13
- 9789811526916
- Series
- Description
- The book presents an innovative framework for analyzing extreme and systemic risk through an integrated approach, emphasizing simultaneous measurement, assessment, and management. It reinterprets Sklar's theorem from a network perspective, treating copulas as network properties that allow for independent and joint analysis of risks. With a focus on natural disasters, the text is designed for a broad audience, featuring practical examples and applications, along with comprehensive literature discussions in each chapter to enrich the reader's understanding.