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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書目詳細資料
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
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