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Alfonso Suárez-Llorens

Universidad de Cádiz

SCHOLARLY PAPERS

3

DOWNLOADS

281

TOTAL CITATIONS

0

Scholarly Papers (3)

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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)

Abstract:

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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)

Abstract:

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

2.

Measuring Bayesian Sensitivity in the Compound Poisson Process

Number of pages: 23 Posted: 12 Mar 2024
Alfonso Suárez-Llorens, Fabrizio Ruggeri and Marta Sánchez Sánchez
Universidad de Cádiz, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 57 (989,921)

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Robust Bayesian analysis, weighted densities, premium calculation principle, class of priors, stochastic orders

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)

Abstract:

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