Anomaly detection is an important problem that has been researched within diverse
research areas and application domains. Many anomaly detection techniques have been …

This review presents a general theory of financial crashes and of stock market instabilities
that his co-workers and the author have developed over the past seven years. We start by …

Wireless virtual reality (VR), a key 3GPP use case of emerging cellular systems, imposes
new visual and haptic requirements directly linked to the Quality of Experience (QoE) of VR …

Never before has risk management been so important. Now in its third edition, this seminal
work by Joël Bessis has been comprehensively revised and updated to take into account the …

Professor Jorion's book provides a comprehensive treatment of the concept of Value at Risk,
tailored towards the needs of professionals and MBA students. Much emphasis is put on the …

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

International equity markets are characterized by nonlinear dependence and asymmetries.
We propose a new dynamic asymmetric copula model to capture long-run and short-run …

Assessing the probability of rare and extreme events is an important issue in the risk
management of financial portfolios. Extreme value theory provides the solid fundamentals …

The most cutting-edge read on the pricing, modeling, and management of credit risk
available The rise of credit risk measurement and the credit derivatives market started in the …

In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the
daily stock market returns of nine different emerging markets. In addition to well-known …