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Extreme and systemic risk analysisa ...

Hochrainer-Stigler, Stefan.

Extreme and systemic risk analysisa loss distribution approach /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Extreme and systemic risk analysisby Stefan Hochrainer-Stigler.
其他題名:	a loss distribution approach /
作者:	Hochrainer-Stigler, Stefan.
出版者:	Singapore :Springer Singapore :2020.
面頁冊數:	xi, 156 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Risk assessment.
電子資源:	https://doi.org/10.1007/978-981-15-2689-3
ISBN:	9789811526893$q(electronic bk.)

Extreme and systemic risk analysisa loss distribution approach /
Hochrainer-Stigler, Stefan.

Extreme and systemic risk analysisa loss distribution approach /[electronic resource] :by Stefan Hochrainer-Stigler. - Singapore :Springer Singapore :2020. - xi, 156 p. :ill., digital ;24 cm. - Integrated disaster risk management,2509-7091. - Integrated disaster risk management..

Introduction -- Individual and Extreme Risk -- Systemic Risk and Dependencies -- Application.

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.

ISBN: 9789811526893$q(electronic bk.)

Standard No.: 10.1007/978-981-15-2689-3doiSubjects--Topical Terms:

182678
Risk assessment.

LC Class. No.: HD61 / .H634 2020

Dewey Class. No.: 658.155

Extreme and systemic risk analysisa loss distribution approach /
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