FRM@IDA
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FRM@IDA
Introduction of FRM including methodology and applications in different markets
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- 0 Rating
- 0 Reviews
- 6 Students Enrolled
Requirements
- Quantile lasso
General Overview
Description
FRM is a novel indicator of extreme co-movement risk based on modern machine learning tools. This cutting-edge technique identifies systemic risk and reveals market interconnectedness, enhancing network risk awareness for the industry. This methodology is versatile, having been successfully applied to stock markets in North America, Europe, Mainland China, Taiwan, and even the cryptocurrency market. It identifies tail risk transmitters and receivers, providing a profound understanding of how extreme price movements propagate through a network of interconnected companies and entities.
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Meet the instructors !
About the Instructor
Phd in Sun Yat-sen University visiting Phd in Humboldt University of Berlin