Financial Risk Meter for emerging markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F22%3A10453721" target="_blank" >RIV/00216208:11320/22:10453721 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=V1PQFHfRMq" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=V1PQFHfRMq</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ribaf.2021.101594" target="_blank" >10.1016/j.ribaf.2021.101594</a>
Alternative languages
Result language
angličtina
Original language name
Financial Risk Meter for emerging markets
Original language description
In this paper, the daily systemic risk measure FRM (Financial Risk Meter) is proposed for emerging markets (FRM@EM). The FRM@EM is applied to capture systemic risk behavior embedded in the returns of the 25 largest EMs' Financial Institutions (FIs), covering the BRIMST (Brazil, Russia, India, Mexico, South Africa, and Turkey), and thereby reflects the financial linkages between these economies. The results indicate that the FRM of EMs' FIs reached its maximum during the US financial crisis following the COVID-19 crisis. In addition, we find that the Macro factors explain the BRIMST' s FIs with various degrees of sensibility. Moreover, we propose a robust and well-diversified tail-event and cluster risk-sensitive portfolio allocation model named uplifted hierarchical risk parity (upHRP) and compare it to more classical approaches. Results indicate that the upHRP approach provides better diversification. Moreover, the upHRP portfolio overweights low-central FIs and underweights high-central ones.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Research in International Business and Finance
ISSN
0275-5319
e-ISSN
1878-3384
Volume of the periodical
60
Issue of the periodical within the volume
April
Country of publishing house
US - UNITED STATES
Number of pages
26
Pages from-to
101594
UT code for WoS article
000768006000015
EID of the result in the Scopus database
2-s2.0-85121373854