Extreme Financial Risks

From Dependence to Risk Management

  • Yannick Malevergne
  • Didier Sornette

Table of contents

  1. Front Matter
    Pages I-XVI
  2. Pages 99-145
  3. Pages 147-188
  4. Pages 271-281
  5. Back Matter
    Pages 283-312

About this book


Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties of dependences between the different assets.

This book offers an original and thorough treatment of these two domains, focusing mainly on the concepts and tools that remain valid for large and extreme price moves. Strong emphasis is placed on the theory of copulas and their empirical testing and calibration, because they offer intrinsic and complete measures of dependences.

Extreme Financial Risks will be useful to:

students looking for a general and in-depth introduction to the field;

financial engineers, economists, econometricians, actuarial professionals;

researchers and mathematicians looking for a synoptic view comparing the pros and cons of different modelling strategies; and

quantitative practitioners for the insights offered on the subtleties and the many dimensional components of both risk and dependence.

In toto, the content of this book will also be useful to a broader scientific community interested in quantifying the complexity of many natural and artificial processes in which a growing emphasis is on the role and importance of extreme phenomena.


Copula Financial Dependence Financial Modeling Financial Shock Measure Portfolio Portfolio Analysis Risk Management modeling optimization

Authors and affiliations

  • Yannick Malevergne
    • 1
    • 2
  • Didier Sornette
    • 3
    • 4
  1. 1.Institut de Science Financière et d’AssurancesUniversité Claude Bernard Lyon 1Lyon Cedex 07France
  2. 2.EM Lyon Business SchoolEcully CedexFrance
  3. 3.Institute of Geophysics and Planetary Physics and Department of Earth and Space ScienceUniversity of CaliforniaLos AngelesUSA
  4. 4.Laboratoire de Physique de la Matière CondenséeCNRS UMR6622 and Université des SciencesNice Cedex 2France

Bibliographic information