Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - 2017
parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … Granger causality exists between the FRM and these measures, which indicates the validity of the FRM as a systemic risk … measure. The implementation of this project is carried out using parallel computing, the codes are published on www …