This course first introduces the main mechanisms through which the financial sector interacts with macroeconomic activity, together with the key empirical evidence on macro-financial linkages and interactions between business and financial cycles.
Then, the course focuses on how systemic risk arises in the cross sectional and time series dimensions. and presents current methods used for measuring and assessing the build-up of systemic risk, including VaR-type measures of tail risks, market based measures of systemic risk and systemic importance (COVAR, Network analysis), and identification and tracking of risks at Systemically Important Financial Institutions (SIFIs).
At the end of the course, you will have a thorough understanding of:
The current status of research on systemic risk and the foundations of current methodologies
The surveillance and supervisory implications of current methodologies