Early warning systems

Home - Early warning systems

Share this course

07/09/2017 - 08/09/2017

Location

Goethe University, Frankfurt am Main

Download course programme

Click here to download

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

View Gianni De Nicolò profile
Fabio Canova

View Fabio Canova profile
Manfred Kremer

View Manfred Kremer profile