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Full-Text Articles in Business
Frm Financial Risk Meter, Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen, Wolfgang Karl Hardle
Frm Financial Risk Meter, Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen, Wolfgang Karl Hardle
Sim Kee Boon Institute for Financial Economics
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. The FRM focus lies on understanding active set data characteristics and the presentation of interdependencies in a network topology. Two FRM indices are presented, namely, FRM@Americas and FRM@Europe. The FRM indices detect systemic risk at selected areas and identify risk factors. In practice, FRM is applied to the return time series of selected financial institutions …
An Ai Approach To Measuring Financial Risk, Lining Yu, Wolfgang Karl Hardle, Lukas Borke, Thijs Benschop
An Ai Approach To Measuring Financial Risk, Lining Yu, Wolfgang Karl Hardle, Lukas Borke, Thijs Benschop
Sim Kee Boon Institute for Financial Economics
AI artificial intelligence brings about new quantitative techniques to assess the state of an economy. Here, we describe a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (λ" role="presentation" style="box-sizing: border-box; display: inline; font-style: normal; font-weight: normal; line-height: normal; font-size: 18px; text-indent: 0px; text-align: left; text-transform: none; letter-spacing: normal; word-spacing: normal; overflow-wrap: normal; white-space: nowrap; float: none; direction: ltr; max-width: none; max-height: none; min-width: 0px; min-height: 0px; border: 0px; padding: 0px; margin: 0px; position: relative;">λλ) of a linear quantile lasso regression. The FRM is calculated by taking the average …