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A Practical Concept of Tail Correlation

A Practical Concept of Tail Correlation This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper ...
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Description: This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation matrix and describes methods for estimating these quantities from simulated data. We show how these ideas can be put into practice as both computational shortcuts and presentation tools.
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- Authors: Application Administrator
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models

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A Practical Concept of Tail Correlation