Financal Risk Meter

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.

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Stat of ML Conference 2020

UBER team has participated at Stat of ML Conference 2020 The STAT of ML Conference took place from the 27. to the 28. of August 2020 in Prague, CZ. The scientific focus of the conference is rigorous statistical understanding of machine learning methods. Wolfgang Karl Härdle, the coordinator of FINTECH Ho2020 in Germany is one of co-organizers of the Conference. Souhir Ben Amor, Humboldt Research Fellowship Recipient of the Alexander von Humboldt Stiftung, and the doctoral students Danial Saef, Bingling Wang, Elizaveta Zinovyeva, Bruno Spilak, and Xinwen Ni presented their research results on ML methods applications in systemic risk modelling, tail risk protection, antisocial online behavior detection and building of regulatory risk index for cryptocurrencies.

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