12 citations · 23 across the 6 of their papers we have counts for
Showing 2025Show all
2 papers · 1 filter
q-fin.RM2025
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…
stat.ME2025
An easily verifiable dispersion order for discrete distributions
Andreas Eberl, Bernhard Klar, Alfonso Suárez-Llorens
Dispersion is a fundamental concept in statistics, yet standard approaches - especially via stochastic orders - face limitations in the discrete setting. In particular, the classic…