Authors: Siburg, Karl Friedrich
Stehling, Katharina
Stoimenov, Pavel A.
Woerner, Jeannette H. C.
Title: An order for asymmetry in copulas, and implications for risk management
Language (ISO): en
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.
Issue Date: 2013-12-12
Appears in Collections:Preprints der Fakultät für Mathematik

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