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

23 Pages Posted: 14 Mar 2016

See all articles by Karl Siburg

Karl Siburg

Technical University of Dortmund

Katharina Stehling

Technical University of Dortmund

Pavel Stoimenov

University of Dortmund - Department of Economics

Gregor N. F. Weiss

University of Leipzig - Faculty of Economics and Management Science

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

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

Karl Siburg

Technical University of Dortmund ( email )

Emil-Figge-Straße 50
Dortmund, 44227
Germany

Katharina Stehling

Technical University of Dortmund ( email )

Emil-Figge-Straße 50
Dortmund, 44227
Germany

Pavel Stoimenov

University of Dortmund - Department of Economics ( email )

D-44221 Dortmund
Germany

Gregor N. F. Weiss (Contact Author)

University of Leipzig - Faculty of Economics and Management Science ( email )

Grimmaische Str. 12
Leipzig, 04109
Germany
+49 341 97 33821 (Phone)
+49 341 97 33829 (Fax)

HOME PAGE: http://www.wifa.uni-leipzig.de/nfdl

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
96
Abstract Views
851
Rank
490,342
PlumX Metrics