Shaping tail dependencies by nesting box copulas

Details Shaping tail dependencies by nesting box copulas Shaping tail dependencies by nesting box copulas

2009-06-26

arxiv.org/abs/0906.4853v2

Economy

Quantitative Finance

Computational Finance

25 pages, 3 figures, added reference, remarks in Section 6, corrected typos

Scientific paper

We introduce a family of copulas which are locally piecewise uniform in the
interior of the unit cube of any given dimension. Within that family, the
simultaneous control of tail dependencies of all projections to faces of the
cube is possible and we give an efficient sampling algorithm. The combination
of these two properties may be appealing to risk modellers.

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