Chapter 2: FAQs 215
This is the probability that an event with probability
less thanuoccurs in the first variable given that at the
same time an event with probability less thanuoccurs
in the second variable. Now look at the limit of this as
u→0,
λL=lim
u→ 0
C(u,u)
u
.
This tail index tells us about the probability of both
extreme events happening together.
References and Further Reading
Li, D 2000 On Default Correlation: A Copula Function Approach.
RiskMetrics Working Paper
Nelsen, RB 1999An Introduction to Copulas. Springer Verlag
