TY  - GEN 
AU  - Ortega Jiménez, Patricia
AU  - Sordo Díaz, Miguel Ángel
AU  - Suárez Llorens, Alfonso
A4  - Estadística e Investigación Operativa
PY  - 2021
SN  - 0167-6687
UR  - http://hdl.handle.net/10498/29859
AB  - 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...
LA  - eng
PB  - Elsevier
KW  - risk measure
KW  - Contagion risk
KW  - Stochastic orders
KW  - CoVaR
KW  - CoES
TI  - Stochastic orders and multivariate measures of risk contagion
DO  - 10.1016/j.insmatheco.2020.11.008
ER  -