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Assessing The Odds Of A Us Recession, Thomas Lam, David Fernandez
Assessing The Odds Of A Us Recession, Thomas Lam, David Fernandez
Sim Kee Boon Institute for Financial Economics
In this commentary, SMU Sim Kee Boon Institute for Financial Economics (SKBI) Principal Researcher Thomas Lam and SKBI Director SMU Professor of Finance (Practice) Dave Fernandez offer their perspectives on the current multifaceted and highly charged US recession debate. While America is currently not in a downturn, the near-term odds of one have edged up, according to models based on key monthly and weekly indicators.
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 …