VaR4cast_Logo_left
DAX
Tail Behavior with the Index

Tail dependence coefficient and VaR implied correlations

Click the  sort_inactive on the table header to change the sorting order.

Back to VaR4cast overview page

VaR4cast_Logo_right
Last updated:  Friday, 14.12.2018, 21:34:06 Tail dependence coefficient VaR implied correlation
  Name Code Sample size 10% 5% 1% VaR90 VaR95 VaR99
sort_inactivesort_inactivesort_inactivesort_inactivesort_inactivesort_inactivesort_inactivesort_inactive
1 Covestro AG1COV 8190.22 0.120.12 0.250.04 0.29
2 adidas AGADS 12600.23 0.120.00 0.160.26 0.22
3 Allianz SEALV 12600.29 0.120.12 0.170.18 0.11
4 BASF SEBAS 12600.31 0.200.00 -0.020.13 0.60
5 Bayer AGBAYN 12600.24 0.240.12 0.060.08 0.31
6 Beiersdorf AGBEI 12600.22 0.070.00 0.020.13 0.12
7 BMW AGBMW 12600.27 0.170.00 0.100.15 0.20
8 Continental AGCON 12600.18 0.070.00 0.270.20 0.09
9 Daimler AGDAI 12600.28 0.200.24 0.100.20 0.29
10 Dt. Boerse AGDB1 12600.21 0.150.00 -0.010.16 0.08
11 Dt. Bank AGDBK 12600.23 0.120.00 0.140.09 0.41
12 Dt. Post AGDPW 12600.29 0.050.00 0.340.24 0.03
13 Dt. Telekom AGDTE 12600.17 0.170.00 0.140.03 -0.09
14 E.ON SEEOAN 12600.12 0.020.00 0.03-0.19 0.00
15 Fresenius Med.FME 12600.18 0.070.12 0.230.06 0.06
16 FreseniusFRE 12600.17 0.020.12 0.310.09 0.03
17 Heidelbg.CementHEI 12600.23 0.070.12 0.370.27 0.22
18 Henkel AGHEN3 12600.24 0.120.00 0.270.19 0.03
19 Infineon Tech. AGIFX 12600.20 0.150.12 0.170.13 0.19
20 Dt. Lufthansa AGLHA 12600.15 0.100.00 0.040.18 0.31
21 Linde AGLIN 12600.31 0.240.49 0.380.59 0.61
22 MERCKMRK 12600.17 0.120.00 0.110.05 0.17
23 Münchener Rück.MUV2 12600.24 0.170.12 0.110.13 0.26
24 RWE AGRWE 12600.17 0.100.12 0.01-0.05 0.39
25 SAP SESAP 12600.26 0.100.00 0.130.28 0.18
26 Siemens AGSIE 12600.26 0.150.00 0.320.32 -0.11
27 thyssenkrupp AGTKA 12600.21 0.100.00 -0.100.14 0.22
28 Vonovia SEVNA 12600.10 0.020.00 -0.020.09 -0.06
29 Volkswagen AGVOW3 12600.23 0.100.00 0.130.25 0.03
30 WirecardWDI 12600.29 0.240.00 0.100.28 0.29
© 2018 VaR4cast.com