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Tail dependence

P

psychopath 0_o

Member
This may be a very dumb question, but I will ask anyway!

Can I have a few examples of different pairs of risks where you want to know only the upper tail, the lower tail or both tails?

It seems like so far, people try to explain to me depending on how well fit the copula is then, u know which tail you should be looking at. But can I have some examples or some intuitive reasoning to decide what tail I should be looking without fitting the model???
 
An example of upper tail dependence might be credit risk losses - if we lose a lot of money on one portfolio, will we also lose on another?

If we were interested in market returns we might be intersted in lower tail dependence - are very low market returns on one portfolio associated with low returns on another?

A similar discussion was in theis thread: http://www.acted.co.uk/forums/showthread.php?t=5307

I hope this helps (not a dumb question at all!)
 
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