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Tail Behavior with the Index

Tail dependence coefficient and VaR implied correlations

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Last updated:  Thursday, 07.12.2017, 11:44:48 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 AdidasADS 12600.48 0.510.40 0.650.50 0.92
2 AllianzALV 12600.72 0.650.32 0.920.97 0.62
3 BASFBAS 12600.71 0.700.48 0.851.00 0.80
4 BayerBAYN 12600.73 0.630.56 0.920.96 0.88
5 BeiersdorfBEI 12600.50 0.510.32 0.500.66 0.84
6 BMWBMW 12600.71 0.560.40 0.850.89 0.76
7 CommerzbankCBK 12600.49 0.380.24 0.680.71 0.96
8 ContinentalCON 12600.63 0.590.32 0.940.75 0.86
9 DaimlerDAI 12600.75 0.600.63 0.960.89 0.76
10 Deutsche BankDBK 12600.65 0.520.40 0.790.70 0.71
11 Deutsche BörseDB1 12600.52 0.570.48 0.460.69 0.70
12 Deutsche PostDPW 12600.62 0.570.48 0.800.84 0.65
13 Deutsche TelekomDTE 12600.60 0.460.32 0.820.81 0.76
14 E.ONEOAN 12600.58 0.400.32 0.830.85 0.56
15 Fresenius Vz.FRE 12600.45 0.480.24 0.610.48 0.58
16 Fres.Med.CareFME 12600.49 0.490.24 0.570.54 0.62
17 Heidelbg.CementHEI 12600.63 0.520.40 0.800.90 0.70
18 Henkel Vz.HEN3 12600.55 0.520.24 0.590.62 0.71
19 InfineonIFX 12600.56 0.430.32 0.740.70 0.65
20 K+SSDF 12600.48 0.370.08 0.660.55 0.69
21 LindeLIN 12600.64 0.570.40 0.640.76 0.62
22 LufthansaLHA 12600.45 0.380.24 0.640.75 0.73
23 MerckMRK 12600.56 0.560.32 0.580.75 0.94
24 Münchener RückMUV2 12600.65 0.560.32 0.620.84 0.50
25 RWERWE 12600.49 0.380.32 0.770.50 0.62
26 SAPSAP 12600.59 0.510.32 0.800.62 0.83
27 SiemensSIE 12600.75 0.650.48 0.960.88 0.64
28 ThyssenKruppTKA 12600.61 0.480.40 0.900.81 0.55
29 VNAVNA 7930.37 0.380.25 0.410.41 0.56
30 VWVOW3 12600.57 0.580.38 0.700.72 1.00
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