An Order of Asymmetry in Copulas, and Implications for Risk Management

We study symmetry properties of bivariate copulas. For this, we introduce an order of asymmetry, as well as measures of asymmetry which are monotone in that order. In an empirical study, we illustrate that asymmetric dependence structures do indeed occur in financial market data and discuss its relevance for financial risk management

MoreLess

Year of publication:	2016
Authors:	Siburg, Karl
Other Persons:	Stehling, Katharina (contributor) ; Stoimenov, Pavel (contributor) ; Weiss, Gregor N. F. (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Multivariate Verteilung \| Multivariate distribution \| Risikomanagement \| Risk management \| Portfolio-Management \| Portfolio selection \| Nichtparametrisches Verfahren \| Nonparametric statistics

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Insurance: Mathematics and Economics, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 13, 2016 erstellt
Classification:	C00 - Mathematical and Quantitative Methods. General ; c58 ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012996898