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Early Warning Systems

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  • General description

    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

  • What you will learn

    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.
  • How the course will work

    Total course length: between 12 and 15 hours.

    A certificate of attendance will be provided to all participants after the course.

  • Meet the instructors

    Gianni De Nicolò is Programme Associate at the Florence School of Banking and Finance, Senior Economist in the Research Department of the International Monetary Fund, and Fellow at CESifo, Munich. Before joining the Fund, he worked as Economist in the Division of International Finance at the Board of Governors of the Federal Reserve System, was Assistant Professor at Brandeis University and Lecturer at the University of Rome I. His current research interests include macro-financial modeling of systemic risk, financial integration, and theoretical models of banking with empirical applications.

    Fabio Canova is the Head of Training Florence School of Banking and Finance, Professor of MacroEconometrics at BI Norvegian Business School; program director of the Budapest School of Central Bank Studies, Director of the International Association of Applied Econometrics; Member of the scientific committee of the Euro Area Business Cycle Network; permanent research visitor at the European Central Bank; Editor of the Journal of Applied Econometrics. He has given professional courses at two dozen Central Banks in Europe and around the world, as well as the EABCN, the Central Bank program in Genzersee, the IMF, and the EU commission.

    Manfred Kremer is Deputy Head of the Financial Research Division at the European Central Bank. In this function he supervises the work of around 15 professional researchers covering a wide range of topics in central bank-related financial research. Before joining Financial Research in 2009, he was Deputy Head in the Capital Markets and Financial Structure Division of the ECB’s Directorate General Economics where he also started his career at the ECB as economist in 2000. His time as economist in the Monetary Policy Department of the Deutsche Bundesbank adds to 20 years of first-hand central banking experience. Prior to that he spent 5 years as full-time teaching and research fellow in the economics department of the University of Duisburg in Germany from which he also graduated. He holds a Ph.D. from the University of Wuppertal in Germany. Apart from his long-standing general interest in monetary theory and policy, his more recent research interests include the measurement of systemic risk, macro-financial linkages, the predictive content of asset prices and risk premia as well as international asset price linkages. Some of his publications can be accessed online via http://ssrn.com/author=92197.

  • Prerequisites

    Degree in Economics; proficiency in mathematics, statistics and macro-modelling.

    Technical prerequisite

    Participants must have access to a personal computer with the STATA software installed.

  • Fees

    1500 € – Public Authorities (e.g. National Competent Authorities, Central Banks) and European Institutions*

    2000€ – Private Sector*

    850€ – Students (with certificate of studies)

    The course fee covers coffee and lunch breaks. Travel and hotel costs are not included.

    * In case of registration of 3 participants from the same institution or private company, a reduced fee is applied for each of them (€ 1000 public sector and 1300 € private sector), under the following conditions:
    • the names of the 3 participants have to be communicated to fbf@eui.eu before registering
    • the names of other registered people from the same institution cannot be communicated. It is upon your responsibility to get in touch with your HR division
    • a single debit note will be issued for the 3 participants followed by one payment


    • In case a course is cancelled, registered participants will receive the full refund.
    • In case a course is moved to another date, registered participants may request a voucher to attend another FBF course.
    • Registered participants who cancel their participation will receive a voucher to attend another FBF course.

    For more details, please contact fbf@eui.eu
  • Practical information


    The course will take place at the Research Center “Sustainable Architecture for Finance in Europe” (SAFE), a cooperation of the Center for Financial Studies and Goethe University Frankfurt funded by the Hessian excellence initiative LOEWE. The Center, which is located at Goethe University’s House of Finance, is dedicated to research and policy advice in the area of finance.


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  • Course material

    Registered participants can access the reading materials on this page, using the password provided by the course secretariat.