We propose a strategy for selecting and analyzing a set of financial assets, focusing attention on their lower tail dependence structure. The selection is made through an algorithmic procedure based on data mining tools and keeping as a basis an asset of major interest with the aim, in a financial crisi perspective, to minimiza the association among extremely low values of the assets. Using copula functions, the tail dependence structure is evaluated in a bivariate as well as in a multivariate context.

Archimedean Copulae and Market Risk in Financial Crisi Perspective

DE LUCA, GIOVANNI;RIVIECCIO, GIORGIA;
2009

Abstract

We propose a strategy for selecting and analyzing a set of financial assets, focusing attention on their lower tail dependence structure. The selection is made through an algorithmic procedure based on data mining tools and keeping as a basis an asset of major interest with the aim, in a financial crisi perspective, to minimiza the association among extremely low values of the assets. Using copula functions, the tail dependence structure is evaluated in a bivariate as well as in a multivariate context.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11367/19533
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