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 …

and downside risk. Evidence from major advanced markets markets markets markets supports the supports the notion that … notion that notion that downside risk measured by value value value-at -risk ( risk (VaRVaRVaR) has significant information … moments of risk for for predict redict ing stock returns. stock returns. stock returns. stock returns. The e The e vidence …

. Based on these active risk factors, an adjustment for intertemporal dependency is made. The authors extend TEDAS methodology … to three gestalts differing in allocation weights’ determination: a Cornish-Fisher Value-at-Risk minimization, Markowitz …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … dynamic semiparametric factor model (DSFM). -- correlation risk ; dimension reduction ; dispersion strategy ; dynamic factor …

bond risk premia modelling, the locally selected variables and their estimated coefficient loadings identified the longest …