标题： 二元学生t-\textit{t} copulas中CoVaR和VaR的概率等价水平及其在外汇风险监测中的应用 显示英文标题

标题： Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring

摘要： 我们将“风险价值和条件风险价值的概率等价水平”（PELCoV）方法扩展到适应由学生t型copula建模的双变量风险，放松了早期方法的强依赖假设，并增强了框架捕捉尾部依赖性和非对称共同运动的能力。 虽然理论结果是在静态环境下开发的，但我们动态地实现了它们，以跟踪随时间变化的风险溢出。 我们通过在外汇市场的应用来说明我们方法的实际相关性，监测1999年至2024年期间的USD/GBP汇率，并将USD/EUR系列作为辅助预警指标。 我们的结果突显了扩展的PELCoV框架在金融压力时期检测风险低估早期迹象的潜力。 显示英文摘要

摘要： 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 assumptions of earlier approaches and enhancing the framework's ability to capture tail dependence and asymmetric co-movements. While the theoretical results are developed in a static setting, we implement them dynamically to track evolving risk spillovers over time. We illustrate the practical relevance of our approach through an application to the foreign exchange market, monitoring the USD/GBP exchange rate with the USD/EUR series as an auxiliary early warning indicator over the period 1999-2024. Our results highlight the potential of the extended PELCoV framework to detect early signs of risk underestimation during periods of financial stress.