BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Mathematical Finance - ECPv5.7.0//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
BEGIN:VTIMEZONE
TZID:America/Chicago
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20260308T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20261101T070000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20260424T090000
DTEND;TZID=America/Chicago:20260424T100000
DTSTAMP:20260521T164132
CREATED:20260311T203054Z
LAST-MODIFIED:20260421T153933Z
UID:2826-1777021200-1777024800@www.math.ttu.edu
SUMMARY:Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management: Dynamic skew- copula approach
DESCRIPTION:Speaker: Dr. Kakeru Ito\, Senior Portfolio Manager (Multi-Asset / Quants)\, Mizuho Securities Co.\, Ltd.\nand Visiting Researcher\, Graduate School of Management\, Tokyo Metropolitan University  \nAbstract:  This study proposes AC dynamic skew-𝑡 copula with cDCC model to capture the dynamic asymmetric tail dependence structure among multi-asset classes (government bonds\, corporate bonds\, equities\, and REITs). We provide new evidence that lower tail dependence coefficients increased compared to upper ones for all pairs in the COVID-19 crash and the recent high inflation period\, indicating that the diversification effect through multi-asset investment decreased. Our empirical analysis also shows that in terms of AIC and BIC\, dynamic AC skew-𝑡 copula fits data of multi-asset classes better than other dynamic elliptical copulas because it can consider the above dependence structure characteristics. Furthermore\, out-of-sample analysis reveals that considering an asymmetry of tail dependence structure at each point with an AC dynamic skew-𝑡 copula enhances expected shortfall (ES) estimation accuracy and the performance of a minimum ES portfolio. These results indicate that capturing dynamic asymmetric tail dependence is crucial for multi-asset portfolio management.
URL:https://www.math.ttu.edu/mathematicalfinance/event/dynamic-asymmetric-tail-dependence-structure-among-multi-asset-classes-for-portfolio-management-dynamic-skew-copula-approach/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2026
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2026/04/ito-e1776785927134.jpg
END:VEVENT
END:VCALENDAR