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 …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …

allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an … application to financial data. -- Distribution functions ; dimension reduction ; risk management ; statistical models …

. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit … both methodologies tend to overestimate risk in turbulent period. Further, non-linear effects between CDS spreads in …

-term default risk demonstrate 85.5% total connectedness, while the slope and the curvature factors document 79.72% and 62.94% total … connectedness for the short-term and middle-term default risk, respectively. The issues of default spillover and systemic risk …

and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate … model provide better results than those based on the normal distribution. -- copula ; multivariate distribution ; value-at-risk …

Portfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics …. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across … assets and opposite tail movements are essential to the asset allocation problem, since they determine the level of risk in a …