Ben Amor, Souhir; Althof, Michael; Härdle, Wolfgang Karl - 2021
instability. Therefore, an efficient risk measure and hedging strategies are needed to help investors protect their investments … against this risk. In this paper, a daily systemic risk measure, called FRM (Financial Risk Meter) is proposed. The FRM@ EM is … applied to capture systemic risk behavior embedded in the returns of the 25 largest EMs' FIs, covering the BRIMST (Brazil …