|Authors:||Siburg, Karl Friedrich|
Stoimenov, Pavel A.
Woerner, Jeannette H. C.
|Title:||An order for asymmetry in copulas, and implications for risk management|
|Abstract:||We investigate 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. As for applications, we show that asymmetry does occur in real financial data. This implies that in finance and risk management, asymmetric models should be favored against the usual symmetric ones.|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
Files in This Item:
|4413_DP_SFB823_Siburg_Stehling_Stoimenov_Woerner.pdf||DNB||575.08 kB||Adobe PDF||View/Open|
This item is protected by original copyright
All resources in the repository are protected by copyright.