作 者:(法)馬勒沃根 著作
定 價:49
出 版 社:世界圖書出版公司
出版日期:2012年06月01日
頁 數:312
裝 幀:平裝
ISBN:9787510044038
●1 On the Origin of Risks and Extremes
●1.1 The ltidimensional Nature of Risk and Dependence
●1.2 How to Rank Risks Coherently?
●1.2.1 Coherent Measures of Risks
●1.2.2 Consistent Measures of Risks and Deviation Measures
●1.2.3 Examples of Consistent Measures of Risk
●1.3 Origin of Risk and Dependence
●1.3.1 The CAPM View
●1.3.2 The Arbitrage Pricing Theory (APT) and the Fama-French Factor Model
●1.3.3 The Efficient Market Hypothesis
●1.3.4 Emergence of Dependence Structures in the Stock Markets
●1.3.5 Large Risks in Comnlex Svstems
●Appendix
●1.A Why Do Higher Moments Allow us to Assess Larger Risks?
●
●2 Marginal Distributions of Returns
●2.1 Motivations
●2.2 A Brief Historv of Return Distributions
●2.2.1 The Gaussian Paradigm
●2.2.2 Mechanisms for Power Laws in Finance
●部分目錄
In the financial sector, crashes probably represent the most striking eventsamong all possible extreme phenomena, with an impact and frequency thathas been increasing in the last two decades. Consider the worldwidecrash i等
1.3.5 Large Risks in Complex Systems
These calculations show that an endogenous small positive correlation betweenall stock-pairs gives rise to large eigenvalues which can then be associated with "market factors." It seems that earlier researches have promoted the other wayaround: existing market factors (stock indices, news agencies, etc.) introduceexogenous market impact which affect等