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Miguel A. Sordo

University of Cádiz

Ancha, 16 - 11001

Cádiz

Spain

  • University of Cádiz

SCHOLARLY PAPERS

4

DOWNLOADS

307

TOTAL CITATIONS

0

Scholarly Papers (4)

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1.

Probability Equivalent Level for Covar and VAR

Downloads 172 (437,795)

Probability Equivalent Level for Covar and VAR

Number of pages: 27 Posted: 17 Dec 2022
Patricia Ortega-Jiménez, Franco Pellerey, Miguel A. Sordo and Alfonso Suárez-Llorens
affiliation not provided to SSRN, Polytechnic University of Turin, University of Cádiz and Universidad de Cádiz
Downloads 101 (689,735)

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Systematic risk, contagion risk measure, value at risk, conditional value at risk, stochastically increasing.

Probability Equivalent Level for Covar and VAR

Number of pages: 27 Posted: 12 Dec 2022
Patricia Ortega-Jiménez, Franco Pellerey, Miguel A. Sordo and Alfonso Suárez-Llorens
affiliation not provided to SSRN, Polytechnic University of Turin, University of Cádiz and Universidad de Cádiz
Downloads 71 (879,563)

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Systematic risk, contagion risk measure, value at risk, conditional value at risk, stochastically increasing.

2.

Ordering Higher Risks in Yaari's Dual Theory

Number of pages: 25 Posted: 23 Jan 2023 Last Revised: 13 May 2026
Antonia Castano-Martínez, Gema Pigueiras, Carmen D. Ramos and Miguel A. Sordo
Universidad de Cádiz, Universidad de Cádiz, Universidad de Cádiz and University of Cádiz
Downloads 83 (783,685)

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risk distribution, stochastic dominance, dual theory, distortion function

3.

Probability Equivalent Level for Covar and VAR in Bivariate Student-T Copulas with Application to Foreign Exchange Risk Monitoring

Number of pages: 24 Posted: 15 May 2025
Miguel A. Sordo, Daniela I. Flores-Silva and Alfonso Suárez-Llorens
University of Cádiz, Universidad de Cádiz and Universidad de Cádiz
Downloads 52 (1,041,696)

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Systemic risk, contagion risk measure, value at risk, conditional value at risk, Student-t distribution

4.

Distortion-based risk comparisons in the presence of background risk

Number of pages: 14 Last Revised: 11 Jun 2026
Miguel A. Sordo
University of Cádiz
Downloads 0

Abstract:

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D81, G32 distortion risk measures, background risk, risk comparison, increasing convex order, concomitants of order statistics