@TECHREPORT {SFB649DP2017-003,
  AUTHOR={Yu, Lining and H\"{a}rdle, Wolfgang Karl and Borke, Lukas and Benschop, Thijs},
  TITLE={{FRM: a Financial Risk Meter based on penalizing tail events occurrence}},
  YEAR=2017,
  INSTITUTION={Sonderforschungsbereich 649, Humboldt Universit\"{a}t zu Berlin, Germany},
  TYPE={SFB 649 Discussion Paper},
  NOTE={available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2017-003.pdf},
  NUMBER={2017-003}
}