logo-euiFlorence School of Banking & Finance

Measuring and Managing Systemic Risk

  • General description

    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).

  • Topics covered

    • 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 learn

    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
  • 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.

  • Prerequisites

    Degree requisites

    Participants are expected to hold a BA (or equivalent) in Economics and to have a basic understanding of statistics and econometrics.

    Technical requisites

    Participants are required to bring their own laptop with the STATA software installed (version 14 or compatible).

  • 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


    Recommended hotels:
    Hotel Villa La Stella (20 min walking distance from EUI )
    Hotel Cellai
    Hotel Palazzo Ricasoli
    Hotel de la Pace
    Hotel Athenaeum 


    On arrival, participants will be provided with temporary wi-fi access for the whole duration of the course.

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  • Reading material