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.
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.