极端金融风险

图书标准信息

• 作者 [法]马勒沃根 著
• 出版社 世界图书出版公司
• 出版时间 2012-06
• 版次 1
• ISBN 9787510044038
• 定价 49.00元
• 装帧 平装
• 开本 24开
• 纸张 胶版纸
• 页数 312页
• 正文语种 英语

【内容简介】

Inthefinancialsector，crashesprobablyrepresentthemoststrikingeventsamongallpossibleextremephenomena，withanimpactandfrequencythathasbeenincreasinginthelasttwodecades.ConsidertheworldwidecrashinOctober1987whichevaporatedmorethanonethousandbilliondol-larsinafewdaysorthemorerecentcollapseoftheinternetbubbleinwhichmorethanone-thirdoftheworldcapitalizationof1999disappearedafterMarch2000.Financeandstockmarketsarebasedonthefluidconvertibilityofstocksintomoneyandviceversa.Thus，toworkwell，moneyisrequestedtobeareliablestandardofvalue，thatis，aneffective8toreofvalue，hencetheconcernswiththenegativeimpactsofinflation.

【目录】

1OntheOriginofRisksandExtremes
1.1TheMultidimensionalNatureofRiskandDependence
1.2HowtoRankRisksCoherently?
1.2.1CoherentMeasuresofRisks
1.2.2ConsistentMeasuresofRisksandDeviationMeasures
1.2.3ExamplesofConsistentMeasuresofRisk
1.3OriginofRiskandDependence
1.3.1TheCAPMView
1.3.2TheArbitragePricingTheory（APT）andtheFama-FrenchFactorModel
1.3.3TheEfficientMarketHypothesis
1.3.4EmergenceofDependenceStructuresintheStockMarkets
1.3.5LargeRisksinComnlexSvstems
Appendix
1.AWhyDoHigherMomentsAllowustoAssessLargerRisks?

2MarginalDistributionsofReturns
2.1Motivations
2.2ABriefHistorvofReturnDistributions
2.2.1TheGaussianParadigm
2.2.2MechanismsforPowerLawsinFinance
2.2.3EmpiricalSearchforPowerLawTailsandPossibleAlternatives
2.3ConstraintsfromExtremeValueTheory
2.3.1MainTheoreticalR;esultsonExtremeValueTheory
2.3.2EstimationoftheFormParameterandSlowConvergencetoLimitGeneralizedExtremeValue（GEV）andGeneralizedPareto（GPD）Distributions
2.3.3CanLongMemoryProcessesLeadtoMisleadingMeasuresofExtremeProperties?
2.3.4GEVandGPDEstimatorsoftheDistributionsofReturnsoftheDowJonesandNasdaqIndices
2.4FittingDistributionsofR,eturnswithParametricDensities
2.4.1DefinitionofTwoParametricFamilies
2.4.2ParameterEstimationUsingMaximumLikelihoodandAnderson-DarlingDistance
2.4.3EmpiricalResultsontheGoodness-of-Fits
2.4.4ComparisonoftheDescriptivePoweroftheDifferentFamilies
2.5DiscussionandConclusions
2.5.1Summary
2.5.2IsThereaBestModelofTails?
2.5.3ImplicationsforRiskAssessment
Appendix
2.ADefinitionandMainPropertiesofMultifractalProcesses
2.BASurveyofthePropertiesofMaximumLikelihoodEstimators
2.CAsymptoticVariance-CovarianceofMaximumLikelihoodEstimatorsoftheSEParameters
2.DTestingtheParetoModelversustheStretched-ExponentialModel

3NotionsofCopulas
3.1WhatisDependence?
3.2DefinitionandMainPropertiesofCopulas
3.3AFewCopulaFamilies
3.3.1EllipticalCopulas
3.3.2ArchimedeanCopulas
3.3.3ExtremeValueCopulas
3.4UniversalBoundsforFunctionalsofDependentR,andomVariables
3.5SimulationofDependentDatawithaPrescribedCopula
3.5.1SimulationofRandomVariablesCharacterized
3.5.2SimulationofRandomVariablesCharacterized
3.6ApplicationofCopulas
3.6.1AssessingTailRisk
3.6.2AsymptoticExpressionoftheValue-at-Risk
3.6.3OptionsonaBasketofAssets
3.6.4BasicModelingofDependentDefaultRisks
Appendix
3.ASimpleProofofaTheoremonUniversalBoundsforFunctionalsofDependentR,andomVariables
3.BSketchofaProofofaLargeDeviationTheoremforPortfoliosMadeofWeibullR,andomVariables
3.CRelationBetweentheObjectiveandtheRisk-NeutralCopula

4MeasuresofDependences
5DescriptionofFinancialDependenceswithCopulas
6MeasuringExtremeDependences
7SummaryandOutlook
References