Financial Risk Meter

Fintech Ho2020 team of Humboldt University of Berlin together with FIRAMIS have launched a systemic risk management tool - Financial Risk Meter (FRM) , which was selected as a use case in Fintech H2020 Project. FRM aims to identify tail event co-movements between financial institutions by one index. It helps to • detect spill-over mechanisms • identify activators and co-stress entities • capture tail event interdependencies

 FRM uses quantile lasso measures to estimate systemic interconnectedness across markets based on tail-driven spill-over effects in an high dimensional framework. Quantile regression captures tail event interdependencies within the network. Lasso selects the most influential institutions that drive the dynamics of these tail events. FRM was developed for different markets: FRM@Europe, FRM@Americas, FRM@Crypto, FRM@Asia, FRM@Euro Rates, FRM@iTraxx, FRM@US, FRM@Emerging Markets. Please refer to FRM website to get all information: 

http://hu.berlin/frm or https://applications.firamis.de/frei/app/frm_app

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