An Order of Asymmetry in Copulas, and Implications for Risk Management
23 Pages Posted: 14 Mar 2016
Date Written: March 13, 2016
Abstract
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.
Keywords: Asymmetry, exchangeability, copula, diversification
JEL Classification: C00, C58, G17
Suggested Citation: Suggested Citation
Siburg, Karl and Stehling, Katharina and Stoimenov, Pavel and Weiss, Gregor N. F., An Order of Asymmetry in Copulas, and Implications for Risk Management (March 13, 2016). Insurance: Mathematics and Economics, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2747097
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.