%0 Journal Article 
%A Ortega Jiménez, Patricia
%A Sordo Díaz, Miguel Ángel
%A Suárez Llorens, Alfonso
%T Stochastic orders and multivariate measures of risk contagion
%D 2021
%@ 0167-6687
%U http://hdl.handle.net/10498/29859
%X Co-risk measures and risk contributions measures are used in portfolio risk analysis to assess and
quantify the risk of contagion, given that one or more assets in the portfolio are in distress. In this
paper, given two random vectors X and Y that represent two portfolios of n assets (n ≥ 2) and
exhibit some kind of positive dependence, we give sufficient conditions based on stochastic orders
to compare the risk of contagion of the portfolios. The measures of risk contagion that we consider
are the conditional value at risk (CoVaR), the conditional expected shortfall (CoES) and the recently
introduced marginal mean excess (MME).
%K risk measure
%K Contagion risk
%K Stochastic orders
%K CoVaR
%K CoES
%~ Universidad de Cádiz