An order for asymmetry in copulas, and implications for risk management

dc.contributor.author	Siburg, Karl Friedrich
dc.contributor.author	Stehling, Katharina
dc.contributor.author	Stoimenov, Pavel A.
dc.contributor.author	Woerner, Jeannette H. C.
dc.date.accessioned	2013-11-19T12:59:09Z
dc.date.available	2013-11-19T12:59:09Z
dc.date.issued	2013-11-19
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/31165
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-10842
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;44/2013
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	An order for asymmetry in copulas, and implications for risk management	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access
eldorado.dnb.deposit	true	de

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