FRM Financial Risk Meter

• المؤلفون الرئيسيون: MIHOCI, Andrija, ALTHOF, Michael, CHEN, Cathy Yi-Hsuan, HARDLE, Wolfgang Karl
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2020
• الموضوعات: Systemic Risk; Quantile Regression; Lasso; Financial Markets; Risk Management; Network Dynamics; Recession; Finance; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/skbi/4; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1003&context=skbi

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...