This paper develops a new risk meter specifically for China - FRM@China - to detect systemic financial risk as well as tail-event (TE) dependencies among major financial institutions (FIs). Compared with the CBOE FIX VIX, which is currently the most popular financial risk measure, FRM@China has...

This paper develops a new risk meter specifically for China – FRM@China – to detect systemic financial risk as well as tail-event (TE) dependencies among major financial institutions (FIs). Compared with the CBOE FIX VIX, which is currently the most popular financial risk measure, FRM@China...

A daily 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 event co-movements. The FRM focus lies on...

Cryptocurrencies are gaining momentum in investor attention, are about to become a new asset class, and may provide a hedging alternative against the risk of devaluation of fiat currencies following the COVID-19 crisis. In order to provide a thorough understanding of this new asset class, risk...

The fast-growing Emerging Market (EM) economies and their improved transparency and liquidity have attracted international investors. However, the external price shocks can result in a higher level of volatility as well as domestic policy instability. Therefore, an efficient risk measure and...