A New Attribution Index for Systemic Risk Contributions in Financial Portfolios
D. I. Flores Silva, M. A. Sordo Diaz, A. Suárez Llorens
This talk introduces a novel framework for attributing systemic risk to individual portfolio components. While standard Value-at-Risk (VaR) measures isolated loss, we use CoVaR and the Probability equivalent level of CoVaR-Var (PELCoV) to quantify the specific contribution of an asset to the total system.
Palabras clave: stochastic orders, systemic risk
Programado
GT Ordenaciones estocásticas y sus aplicaciones
2 de septiembre de 2026 15:30
Aula 22
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