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Tail Behavior with the Index

Tail dependence coefficient and VaR implied correlations

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Last updated:  Monday, 24.09.2018, 22:35:27 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 7610.20 0.110.00 0.140.09 -0.02
2 adidas AGADS 12600.24 0.110.00 0.040.25 0.19
3 Allianz SEALV 12600.25 0.130.00 0.160.08 0.12
4 BASF SEBAS 12600.25 0.180.26 -0.040.05 0.33
5 Bayer AGBAYN 12600.21 0.180.13 0.050.06 0.07
6 Beiersdorf AGBEI 12600.18 0.030.00 -0.050.09 0.03
7 BMW AGBMW 12600.24 0.160.13 -0.050.13 0.19
8 Continental AGCON 12600.21 0.180.00 0.070.24 0.31
9 Daimler AGDAI 12600.26 0.180.13 0.010.18 0.31
10 Dt. Boerse AGDB1 12600.16 0.110.00 -0.040.08 -0.18
11 Dt. Bank AGDBK 12600.20 0.130.00 0.130.02 0.39
12 Dt. Post AGDPW 12600.25 0.030.00 0.320.18 -0.03
13 Dt. Telekom AGDTE 12600.14 0.160.00 0.14-0.04 -0.13
14 E.ON SEEOAN 12600.11 0.030.00 -0.03-0.28 -0.07
15 Fresenius Med.FME 12600.17 0.110.00 0.120.02 -0.10
16 FreseniusFRE 12600.16 0.030.00 0.330.14 -0.01
17 Heidelbg.CementHEI 12600.21 0.050.00 0.280.22 0.07
18 Henkel AGHEN3 12600.20 0.080.00 0.210.12 -0.12
19 Infineon Tech. AGIFX 12600.17 0.130.13 -0.01-0.02 -0.02
20 Dt. Lufthansa AGLHA 12600.16 0.110.00 -0.050.10 0.26
21 Linde AGLIN 12600.12 0.050.00 -0.11-0.04 0.13
22 MERCKMRK 12600.14 0.080.00 0.120.03 -0.07
23 Münchener Rück.MUV2 12600.18 0.110.13 0.100.10 0.18
24 RWE AGRWE 12600.14 0.080.13 -0.02-0.14 0.42
25 SAP SESAP 12600.17 0.030.00 0.100.19 -0.15
26 Siemens AGSIE 12600.22 0.080.00 0.110.31 -0.18
27 thyssenkrupp AGTKA 12600.16 0.080.00 -0.100.05 0.08
28 Vonovia SEVNA 12600.09 0.030.00 0.040.09 -0.08
29 Volkswagen AGVOW3 12600.25 0.080.00 0.010.17 0.01
30 WirecardWDI 12600.22 0.210.00 0.05-0.05 0.34
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