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Quantitative Risk Management
  • P. Embrechts
  • Economics, Computer Science
  • International Encyclopedia of Statistical Science
  • 2011
Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. Expand
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Chapter 8 – Modelling Dependence with Copulas and Applications to Risk Management
The dependence between random variables is completely described by their joint distribution. However, dependence and marginal behavior can be separated. The copula of a multivariate distribution canExpand
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Modelling of extremal events in insurance and finance
Extremal events play an increasingly important role in stochastic modelling in insurance and finance. Expand
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Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
Abstract Modern risk management calls for an understanding of stochastic dependence going beyond simple linear correlation. This article deals with the static (nontime- dependent) case and emphasizesExpand
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Quantitative Risk Management: Concepts, Techniques, and Tools
This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulatorExpand
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Dependence modeling with copulas
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Stochastic processes in insurance and finance
Publisher Summary This chapter dealt mainly with the application of financial pricing techniques to insurance problems. However, actuarial concepts are also of increasing relevance for financeExpand
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Dependence structures for multivariate high-frequency data in finance
Stylized facts for univariate high-frequency data in finance are well known. Expand
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Estimates for the probability of ruin with special emphasis on the possibility of large claims
Abstract The present paper investigates, for the general Andersen model, the asymptotic behaviour of the probability of ruin function when the initial risk reserve tends to infinity. Whereas theExpand
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