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 …

Risiko verbinden ließe, wenn man nur die Finanzprodukte entsprechend gestaltete, hat sich diese Wahnvorstellung … Risikos angesprochen. -- pricing kernels ; risk aversion ; risk neutral density …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …

aspects. More precisely, our framework captures the risk propagation and dynamics in terms of a quantile (or expectile …) autoregression involving network effects quantified through an adjacency matrix. To reflect the nature and risk content of systemic … risk, the construction of the adjacency matrix is suggested to include tail event covariates. The model is evaluated using …