FRM (Financial Risk Meter)Lasso Quantile RegressionNetwork DynamicsEmerging MarketsHierarchical Risk ParityThe fast-growing Emerging Market (EM) economies and their improved transparency and liquidity have attracted international investors. However, the external price shocks can result in a higher level of ...
The Financial Risk Meter (FRM) is an established quantitative tool that, based on conditional Value at Risk (VaR) ideas, yields insight into the dynamics of network risk. Originally, the FRM has been composed via Lasso based quantile regression, but we here extend it by incorporating the idea...
A systemic risk measure is proposed accounting for links and mutual dependencies between nancial institutions utilising tail event information. FRM (Financial Risk Meter) is based on Lasso quantile regression designed to capture tail event co-movements. The FRM focus lies on understanding active set ...
FRM Field-Replaceable Modules 现场可更换模块 FRM Frame Relay Mode 帧中继模式 FRM Fiber Receiver Module 光纤接收器模块 FRM Financial Risk Manager (GARP) 财务风险经理(GARP) FRM Functional Requirements Model 功能需求模型 FRM frequency meter 频率计 FRM Merge form (WordPerfect) 合并表单(WordPerfect)上...
A systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions utilising tail event information. FRM (FinancialMihoci, AndrijaAlthof, MichaelChen, Cathy Yi〩suanHrdle, Wolfgang K.Social Science Electronic Publishing...
Value at RiskLassoParallel ComputingIn this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (λ) of a linear qudoi:10.2139/ssrn.2919263Lining YuWolfgang Karl Härdle...
The Financial Risk Meter (FRM) employs Quantile-LASSO regression to identify systemic financial risk and dependencies among tail events across financial assets. This paper establishes, both theoretically and empirically, a meaningful economic relationship between the FRM index, derived from the penalization...