In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the …, practitioners access to new methods for their applications. The e-book design of the text links theory and computational tools in an …

-term default risk demonstrate 85.5% total connectedness, while the slope and the curvature factors document 79.72% and 62.94% total … connectedness for the short-term and middle-term default risk, respectively. The issues of default spillover and systemic risk …

. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit … both methodologies tend to overestimate risk in turbulent period. Further, non-linear effects between CDS spreads in …

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk …, this study finds that the eigenstructures across the three subperiods are distinct and the determinants of risk factors … factor models. -- credit default swaps ; common factors ; credit risk …