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 …

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market as well as balance sheet information, we define the realized systemic risk beta as the total time …

systemic risk monitoring of large European banks and insurance companies. We predict firms' systemic relevance as the marginal … impact of individual downside risks on systemic distress. The so-called systemic risk betas account for a company's position … general market conditions. Relying only on publicly available daily market data, we determine time-varying systemic risk …

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 …