The Financial Risk Meter (FRM) is designed to effectively predict future market risks. It identifies systemic network risks and dependencies among extreme events across different asset classes and regions. FRM connects asset pricing kernels, the highest Sharpe ratios, and overall market volatility. On all the presented FRM channels on theIDA.net (
http://theIDA.net) it demonstrates its strength in detecting systemic risks and reveals network interconnectedness in tail event situations. The FRM predicts recessions and highlights peak risks during crises. Overall, the FRM provides valuable insights into systemic risks across various markets, helping policymakers and investors make informed decisions.