FRM Financial Risk Meter

FRM Financial Risk Meter

A systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions utilizing tail event information. Financial Risk Meter (FRM) is based on least absolute shrinkage and selection operator quantile regression designed to capture tail event co-movements. Th...

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Bibliographic Details
Main Authors: MIHOCI, Andrija, ALTHOF, Michael, CHEN, Cathy Yi-Hsuan, HARDLE, Wolfgang Karl
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Systemic Risk
Quantile Regression
Lasso
Financial Markets
Risk Management
Network Dynamics
Recession
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/skbi/4
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1003&context=skbi
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/skbi/4
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1003&context=skbi

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