Financial Regulation and Governance

Early warning systems

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07/09/2017 - 08/09/2017

Location

Goethe University, Frankfurt am Main

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Level

Advanced, Intermediate

Approach

Qualitative

Delivery mode

Residential

Course closed

This two-days course by the Florence School of Banking and Finance introduces the foundations of Early Warning Systems (EWS) for systemic risk, reviews the relevant literature, and provides illustration of EWS examples through workshops performed with STATA software.

Topics covered

Introduction to tail risk measures; Value at Risk (VaR) and Conditional Value at Risk (CoVaR)
Expected Systemic shortfall (SES) and other risk measures
Logit and Receiving operation characteristic (ROC) models
Networks, connectedness, and risk interdependences

At the end of this course, you will:

Be able to understand the structure of EWS models;
Be familiar with the main modeling applications;
Be able to evaluate the advantages and limitations of models and modelling applications for policy analysis.

Gianni De Nicolò

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Fabio Canova

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Manfred Kremer

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