Wang, Ruting; Althof, Michael; Härdle, Wolfgang - 2021
This paper develops a new risk meter specifically for China – FRM@China – to detect systemic financial risk as well as … the most popular financial risk measure, FRM@China has less noise. It also emitted a risk signature much earlier than the … CBOE FIX VIX index in the 2020 COVID pandemic. In addition, FRM@China uses a single quantile-lasso regression model to …