An order of asymmetry in copulas,and implications for risk management |
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| Institution: | 1. TU Dortmund University, Faculty of Mathematics, Vogelpothsweg 87, D-44227 Dortmund, Germany;2. TU Dortmund University, Faculty of Economics and Social Sciences, Otto-Hahn-Str. 12, D-44227 Dortmund, Germany;3. International Energy Company, Vienna, Austria;4. University of Leipzig, Faculty of Economics, Grimmaische Str. 12, D-04107 Leipzig, Germany;1. Department of Mathematics, Chungbuk National University, Cheongju 362-763, Republic of Korea;2. Department of Mathematics, Sungkyunkwan University, Suwon 440-746, Republic of Korea;1. Department of Economics, University of Waterloo, Waterloo, ON N2L 3G1, Canada;2. Center for Research in Economics and Management (CREA), Faculty of Law, Economics and Finance, University of Luxembourg, L-1511, Luxembourg;1. Zhaoxin Inc., Beijing, China;2. AMD Research, Bellevue, WA 98007, USA;3. School of Information Science and Technology, ShanghaiTech University, Shanghai, 200031, China |
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| 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. |
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| Keywords: | Asymmetry Exchangeability Copula Diversification Dependence modeling |
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