Henrik Müller, Nico Hornig, 10 July 2020

The COVID-19 pandemic has spread massive economic uncertainty. But popular indicators were rather late in showing the size of the impact. To gauge the severity of future shocks in a timelier fashion, this column proposes a new taxonomy of economic uncertainty and an approach to measure it. In this vein it constructs a news-based indicator called Uncertainty Perception Indicator (UPI).

,

This two-days course by the FBF in Frankfurt 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.

This course will focus on the following topics:
- Introduction to tail risk measures; VaR and CoVaR
- Expected Systemic shortfall (SES) and other risk measures
- Logit and Receiving operation characteristic (ROC) models
- Networks, connectedness, and risk interdependences

Course Instructors: Gianni De Nicolò (FBF and IMF), Fabio Canova (FBF and BI Norwegian Business School), Manfred Kremer (ECB)
Area: Financial Stability and Regulation
Level: Intermediate/Advanced

Further information and registration: http://fbf.eui.eu/training/early-warning-systems/
Registration deadline: 23 August 2017

Events

CEPR Policy Research