Michel Dacorogna, Tail-Dependence an Essential Factor for
Michel Dacorogna, Tail-Dependence an Essential Factor for
Michel Dacorogna, Tail-Dependence an Essential Factor for
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Student’s TEffect of ch<strong>an</strong>ging degrees of freedom:m1 m2m1 1 0.6m2 0.6 1n = 1n = 3 n = 6 n = 9Diversification benefits from varying the Diversification benefits from varying thematrix parameter (3 degrees of freedom): degrees of freedom:35%16%30%14%Diversification Benefits25%20%15%10%Diversification Benefits12%10%8%6%4%5%2%0%0 0.3 0.6 0.9Matrix Parameter0%1 3 6 9Degrees of Freedom<strong>Tail</strong> <strong>Dependence</strong><strong>Michel</strong> M. <strong>Dacorogna</strong>ETH Risk Center Workshop, Oct. 25-26, 201219Value versus R<strong>an</strong>k ScatterSignific<strong>an</strong>ce of Value versusR<strong>an</strong>k ScatterR<strong>an</strong>k ScatterValue ScatterValue scatter is used tocharacterize the spread ofthe marginal distributionsΘ=2R<strong>an</strong>k scatter shows theunderlying dependencebetween the marginalsΘ=1For the purpose of <strong>an</strong>alysingdependence we shall displayonly r<strong>an</strong>k scatter from hereonΘ=3<strong>Tail</strong> <strong>Dependence</strong><strong>Michel</strong> M. <strong>Dacorogna</strong>ETH Risk Center Workshop, Oct. 25-26, 201220
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