Coefficients of Lower and Upper Tail dependencies (Copulas CS2 Chapter 12)

Discussion in 'CS2' started by Bill SD, Aug 26, 2020.

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  1. Bill SD

    Bill SD Very Active Member

    Hi ,
    Understand that the Coefficient of Lower and Upper Tail dependencies is a probability between 0 and 1 to reflect the degree of positive interdependence. But does it also measure the negative interdependence?

    For example, the coefficient for perfect negative interdependence (eg the counter-monotonic copula) is 0. But what would the coefficient be for negative interdependence which isn't perfect?
    Tia
     
    Bill SD, Aug 26, 2020
    #1
  2. John Lee

    John Lee ActEd Tutor Staff Member

    There's only a definition for the positive interdependence as that is what we, as actuaries, are worried about. eg extreme events lead to greater correlation between supposedly diversified stocks.
     
    John Lee, Sep 7, 2020
    #2

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