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"Extreme, synchronized rises and falls in financial
markets occur infrequently but they do occur. The
problem with the models is that they did not assign a
high enough chance of occurrence to the scenario in
which many things go wrong at the same time - the
''em perfect storm'' scenario" (Business Week,
September 1998).
This book focuses on limiting theorems for copulae.
Because joint dependences of extremal events is
nowadays is key issue in risk management, it becomes
crucial to get a better understanding of behavior of
copulas in tails. The first chapter presents a survey
on copulae, and possible applications in risk
management. The following chapters present some
canonical theorems for copulae, and the link between
this approach and standard results on multivariate
extreme is explained. A concluding chapter presents a
survey on graphical procedures to represent copula
densities (with proper fit) in tails.
markets occur infrequently but they do occur. The
problem with the models is that they did not assign a
high enough chance of occurrence to the scenario in
which many things go wrong at the same time - the
''em perfect storm'' scenario" (Business Week,
September 1998).
This book focuses on limiting theorems for copulae.
Because joint dependences of extremal events is
nowadays is key issue in risk management, it becomes
crucial to get a better understanding of behavior of
copulas in tails. The first chapter presents a survey
on copulae, and possible applications in risk
management. The following chapters present some
canonical theorems for copulae, and the link between
this approach and standard results on multivariate
extreme is explained. A concluding chapter presents a
survey on graphical procedures to represent copula
densities (with proper fit) in tails.