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 …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …

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

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The …

challenges in terms of implementation, risk quantification and impacts on capital requirements. This paper first suggests an … risk capital and presents an illustration applied to an option position. Second, it proposes a methodology to estimate the …

of risk, both being associated to the stresses supported by the socio-economic system. We propose instruments for … resilience build-up and management based on a novel classification of risk and resilience management regimes corresponding to the …

, heavy tails, and nonellipticity. It introduces a so-called risk fear portfolio strategy which combines portfolio … optimization with active risk monitoring. The former selects optimal portfolio weights. The later, independently, initiates market … leads to superior multivariate density and Value-at-Risk forecasting, and better portfolio performance. The proposed risk …

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th … February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules …, due to be launched in March by the Basel Committee on Banking Supervision, will consider ditching value-at-risk as the …

collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been … objective of this paper is to understand the impact of model uncertainty on the value-at-risk (VaR) estimators. To accomplish … that, we take the bank's perspective and study a single risk. Under this simplified scenario we can solve the problem …