European Parliament Library

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

Label
Extreme and Systemic Risk Analysis, A Loss Distribution Approach, by Stefan Hochrainer-Stigler
Language
eng
Bibliography note
Includes bibliographical references
Literary Form
non fiction
Main title
Extreme and Systemic Risk Analysis
Medium
electronic resource
Nature of contents
dictionaries
Responsibility statement
by Stefan Hochrainer-Stigler
Series statement
Integrated Disaster Risk Management,, 2509-7091
Sub title
A Loss Distribution Approach
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
Table Of Contents
Introduction -- Individual and Extreme Risk -- Systemic Risk and Dependencies -- Application.
Classification
Content
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