A systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions … utilising tail event information. FRM (Financial Risk Meter) is based on Lasso quantile regression designed to capture tail … systemic risk at selected areas and identifies risk factors. In practice, FRM is applied to the return time series of selected …

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 …

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 …

business risk of asset managers acts as strong motivation for institutional herding and ‘rational bubble-riding.' Two key …

, discourage institutions from leaning against the wind. Moreover, even in the absence of leverage, systemic risk could … increasingly be shaped by large shifts in risk premia owing to the rational herding motivations of institutional investors. To the …

. The paper contributes to the debate shedding light on the controversial relation between risk-diversification and … has an ambiguous effect and beyond a certain levels elicits financial instability. Moreover, we find that risk …

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …