Extreme and Systemic Risk Analysis : A Loss Distribution Approach / by Stefan Hochrainer-Stigler

By:

Hochrainer-Stigler, Stefan, 1977- [VerfasserIn]

Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Integrated Disaster Risk Management | Springer eBook CollectionPublisher: Singapore : Springer Singapore, 2020Publisher: Singapore : Imprint: Springer, 2020Edition: 1st ed. 2020Description: 1 Online-Ressource(XI, 156 p. 54 illus., 24 illus. in color.)ISBN:

9789811526893

Subject(s):

551 23

DOI: DOI: 10.1007/978-981-15-2689-3Online resources:

Summary: Introduction -- Individual and Extreme Risk -- Systemic Risk and Dependencies -- Application. .Summary: 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.PPN: PPN: 1697218202Package identifier: Produktsigel: ZDB-2-EES | ZDB-2-SEB | ZDB-2-SXEE

Holdings ( 0 )

No physical items for this record