Probability Density of Joint Returns (Asset A vs Asset B)

  ^ Asset B
  |      Normal / Gaussian Copula                 Clayton Copula (Lower Tail Dependence)
  |      (Fails to capture extreme crashes)       (Captures simultaneous extreme crashes)
  |
  |           .  .                                .
  |         .      .                            .   .
  |        .        .                          .       .
  |       .          .                        .         .
  |      .            .                      .           .
  |     .              .                    .             .
  |    .                .                  .               .
  |   .                  .                .                 .
  |  .                    .              .                   .
  | .                      .            .                     .
  |.________________________.___________.___.___.___.___.___.___.____> Asset A
  |                          (0,0)      Extreme Losses (Lower Left Tail)
  
  *Gaussian Copula: Correlation is constant; extreme events are independent.
  *Clayton Copula: High probability of joint extreme negative realizations (crashes).