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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Archimede<strong>an</strong> Copula: Clayton Copulaθ = 0.1 θ = 0.5 θ = 1.0 θ = 2.0The Clayton Copula CDF is definedby:With a Generator of the Copula:Diversification Benefits35%30%25%20%15%10%5%The Clayton copula is Archimede<strong>an</strong>0%0.1 0.5 1.0 2.0Correlation Coefficient<strong>Tail</strong> <strong>Dependence</strong><strong>Michel</strong> M. <strong>Dacorogna</strong>ETH Risk Center Workshop, Oct. 25-26, 201215Archimede<strong>an</strong> Copula: Gumbel Copulaθ = 1.0 θ = 1.5 θ = 2.0 θ = 3.0The Gumbel Copula CDF is definedby:where the Generator of the Copula isgiven by:The Gumbel copula is Archimede<strong>an</strong>Diversification Benefits40%35%30%25%20%15%10%5%0%1.0 1.5 2.0 3.0Correlation Coefficient<strong>Tail</strong> <strong>Dependence</strong><strong>Michel</strong> M. <strong>Dacorogna</strong>ETH Risk Center Workshop, Oct. 25-26, 201216
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