Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F24%3A10507672" target="_blank" >RIV/00216208:11320/24:10507672 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=G_jBfMWeOm" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=G_jBfMWeOm</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/14697688.2024.2370311" target="_blank" >10.1080/14697688.2024.2370311</a>
Alternative languages
Result language
angličtina
Original language name
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
Original language description
The Financial Risk Meter (FRM) employs Quantile-LASSO regression to identify systemic financial risk and dependencies among tail events across financial assets. This paper establishes, both theoretically and empirically, a meaningful economic relationship between the FRM index, derived from the penalization parameter in quantile LASSO regression, and the volatility of assets' pricing kernels, the attainable maximal Sharpe ratio, and market volatility. Despite the rapid growth of the crypto market and its increasing integration with traditional financial markets, there remains a dearth of risk measures in this space. $ FRM@Crypto $ FRM@Crypto exhibits robust predictive capabilities in anticipating future market risk, potentially filling a critical void in this market.
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory
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
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Quantitative Finance
ISSN
1469-7688
e-ISSN
1469-7696
Volume of the periodical
24
Issue of the periodical within the volume
7
Country of publishing house
GB - UNITED KINGDOM
Number of pages
18
Pages from-to
975-992
UT code for WoS article
001271375800001
EID of the result in the Scopus database
2-s2.0-85198860242