FRM Financial Risk Meter

• Main Authors: MIHOCI, Andrija, ALTHOF, Michael, CHEN, Cathy Yi-Hsuan, HARDLE, Wolfgang Karl
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2020
• 主題: Systemic Risk; Quantile Regression; Lasso; Financial Markets; Risk Management; Network Dynamics; Recession; Finance; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/skbi/4; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1003&context=skbi
• 機構: Singapore Management University

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...