12 citations · 24 across the 4 of their papers we have counts for
4 papers
Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring
Daniela I. Flores-Silva, Miguel A. Sordo, Alfonso Suárez-Llorens
We extend the "probability-equivalent level of VaR and CoVaR" (PELCoV) methodology to accommodate bivariate risks modeled by a Student-t copula, relaxing the strong dependence assu…
On partial stochastic comparisons based on tail values at risk
Alfonso J. Bello, Julio Mulero, Miguel A. Sordo +1
In risk theory, financial asset returns often follow heavy-tailed distributions. Investors and risk managers used to compare risk measures as the value at risk or tail value at ris…
Preservation of some stochastic orders by distortion functions with application to coherent systems with exchangeable components
Antonio Arriaza, Miguel Angel Sordo
The preservation of stochastic orders by distortion functions has become a topic of increasing interest in the reliability analysis of coherent systems. The reason of this interest…
A variance-based importance index for systems with dependent components
Antonio Arriaza, Jorge Navarro, Miguel Angel Sordo +1
This paper proposes a variance-based measure of importance for coherent systems with dependent and heterogeneous components. The particular cases of independent components and homo…