RT journal article
T1 Stochastic orders and multivariate measures of risk contagion
A1 Ortega Jiménez, Patricia
A1 Sordo Díaz, Miguel Ángel
A1 Suárez Llorens, Alfonso
A2 Estadística e Investigación Operativa
K1 risk measure
K1 Contagion risk
K1 Stochastic orders
K1 CoVaR
K1 CoES
AB Co-risk measures and risk contributions measures are used in portfolio risk analysis to assess andquantify the risk of contagion, given that one or more assets in the portfolio are in distress. In thispaper, given two random vectors X and Y that represent two portfolios of n assets (n ≥ 2) andexhibit some kind of positive dependence, we give sufficient conditions based on stochastic ordersto compare the risk of contagion of the portfolios. The measures of risk contagion that we considerare the conditional value at risk (CoVaR), the conditional expected shortfall (CoES) and the recentlyintroduced marginal mean excess (MME).
PB Elsevier
SN 0167-6687
YR 2021
FD 2021
LK http://hdl.handle.net/10498/29859
UL http://hdl.handle.net/10498/29859
LA eng
DS Repositorio Institucional de la Universidad de Cádiz
RD 10-may-2026