Dependence Structures and Limiting Results

The book "Dependence Structures and Limiting Results" by Arthur Charpentier offers a comprehensive analysis of dependencies in extreme events within financial markets. It highlights the challenges associated with modeling extreme, synchronized increases and decreases, and addresses the need to adequately consider the probability of such scenarios, referred to as "perfect storms." The first part of the book provides an overview of copulas and their applications in risk management, while the subsequent chapters introduce fundamental theorems related to copulas and explain their connection to the standard results of multivariate extreme value theory. A concluding chapter is dedicated to graphical methods for representing copula densities in extreme regions, which is significant for practical application in risk assessment.