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RiskAnalytics : an R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile lasso regression methods
Borke, Lukas - 2017
.quantlet.de with the keyword FRM. The RiskAnalytics package is a convenient tool with the purpose of integrating lasso penalized … (FRM) project, the R package RiskAnalytics has been developed. Its main goal is to provide data processing and parallelized … quantile lasso regression methods for risk analysis based on NASDAQ data, Yahoo Finance data and some macro variables. The …
Persistent link: https://www.econbiz.de/10011619517
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FRM: a financial risk meter based on penalizing tail events occurrence
Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - 2017
penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization …In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …
Persistent link: https://www.econbiz.de/10011598919
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FRM: A financial risk meter based on penalizing tail events occurrence
Yu, Lining; Härdle, Wolfgang Karl; Borke, Lukas; … - 2017
penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization …In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …
Persistent link: https://www.econbiz.de/10011663444
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TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang; Sirotko-Sibirskaya, Natalia; Wang, … - 2014
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...
Persistent link: https://www.econbiz.de/10010428185
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TENET: Tail-Event driven NETwork risk
Härdle, Wolfgang Karl; Sirotko-Sibirskaya, Natalia; … - 2014
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...
Persistent link: https://www.econbiz.de/10010491451
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TENET: Tail-Event driven NETwork risk
Härdle, Wolfgang Karl; Sirotko-Sibirskaya, Natalia; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...
Persistent link: https://www.econbiz.de/10011075765
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Financial network systemic risk contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2013
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,...
Persistent link: https://www.econbiz.de/10010201170
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Financial network systemic risk contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2011
We propose the 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 and balance sheet information, we define the...
Persistent link: https://www.econbiz.de/10009349100
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Financial network systemic risk contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2012
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 and balance sheet information, we...
Persistent link: https://www.econbiz.de/10009583171
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Systemic risk spillovers in the European banking and sovereign network
Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - 2016
We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high-dimensional and interconnected financial system. Tail risk dependencies and systemic risk contributions are estimated using a penalized two-stage fixed-effects quantile approach, which...
Persistent link: https://www.econbiz.de/10011414705