Measuring and Managing Systemic Risk
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).
- Value at Risk (VAR) and market based measures of systemic risk
- Measures of systemic importance (COVAR, Network analysis)
- Identification of Systemically Important Financial Institutions (SIFIs)
- Contagion and network externalities
What you will learnAt 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
Meet the instructor
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.
How the course will work
Total course length: between 15 and 18 hours.
A certificate of attendance will be provided to all participants after the course.
The course will be divided in three-hour blocks. Every block will consist in a lecture and a workshop, which will feature a relevant application.
Participants are expected to hold a BA (or equivalent) in Economics and to have a basic understanding of statistics and econometrics.
Participants are required to bring their own laptop with the STATA software installed (version 14 or compatible).
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 email@example.com 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 firstname.lastname@example.org
On arrival, participants will be provided with temporary wi-fi access for the whole duration of the course.
- Adrian, Tobias, and Markus K Brunnermeier, 2016, CoVaR, American Economic Review, 106(7): 1105-1141.
- Benoit, Sylvain, Jean-Edouard Colliard, Christophe Hurlin, and Christophe Pérignon, 2016 Where the Risks Lie: A Survey on Systemic Risk, Review of Finance.
- Bisias, Dimitrios, Mark Flood, Andrew Lo and Stavros Valavanis, 2012, A Survey of Systemic Risk Analytics, Office of Financial Research, Working Paper #0001, January
- De Nicolò, Gianni, Giovanni Favara, and Lev Ratnovski, 2012, Externalities and Macroprudential Policy, IMF Staff Discussion Note, No.12/05. (Washington: International Monetary Fund)
- De Nicolò, Gianni and Lucchetta, Marcella, 2015, Forecasting Tail Risks, Journal of Applied Econometrics, Forthcoming.
- Gorton, G, and G Ordonez, 2016, Good Booms, Bad Booms, NBER Working Paper 22008.
- Schularick, M, and A Taylor, 2012, Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Cycles, 1870-2008, American Economic Review 102 (2): 1029–1061.