Ren, Rui; Lu, Meng-Jou; Li, Yingxing; Härdle, Wolfgang - 2021
The Financial Risk Meter (FRM) is an established mechanism that, based on conditional Value at Risk (VaR) ideas, yields … insight into the dynamics of network risk. Originally, the FRM has been composed via Lasso based quantile regression, but we … here extend it by incorporating the idea of expectiles, thus indicating not only the tail probability but rather the actual …