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...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/skbi/4 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1003&context=skbi |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |