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

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

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Year of publication:	2016
Authors:	Siburg, Karl
Other Persons:	Stehling, Katharina (contributor) ; Stoimenov, Pavel (contributor) ; Weiß, Gregor (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Multivariate Verteilung \| Multivariate distribution \| Risikomanagement \| Risk management \| Portfolio-Management \| Portfolio selection \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Theorie \| Theory