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

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 …

extensive history of large corporate firms sourced from Moody’s. We develop distance-to-default (DTD) risk factors and design …. We measure the model risk attributed to various modelingassumptions according to the principle of relative entropy and … observe that the omitted-variable bias with respect to the DTD risk factor, neglect of interaction effects and incorrect link …