III Workshop
13 - 15 February 2017 | "Identification and prediction of systemic shocks. Analysis of the macroeconomic determinants of financial risks and its cross-sectional implications."
- Organized by: the Research group on "Identification and prediction of systemic shocks. Analysis of the macroeconomic determinants of financial risks and its cross-sectional implications."
- Sponsored by: Bank of Spain, FAE II and ICAE
- Date: 13 - 15 February 2017
- Venue: Instituto Complutense de Análisis Económico (ICAE) - Universidad Complutense de Madrid
- Speaker: Massimiliano Caporin
- Monday 13:
- 16:00 - 18:00: Preliminaries: Quantile Regression and, if needed, review on multivariate GARCH
- Tuesday 14:
- 10:00 -11:30: Systemic risk measures: introduction and the computation of MES, LRMES, SRISK, SES
- 12:00-13:30: Systemic risk measures: CoVaR and related extensions
- 16:00-18:00: Systemic risk from causality and variance decomposition
- Wednesday 15:
- 10:00-11:30: Networks in finance
- 12:30-14:00: FAE I and FAE II Department Research Seminar: Estimation and model based combination of causality networks. Bonaccolto, G., Caporin, M., and Panzica, R..
- 16:00-17:00: "Systemic banks, capital composition and CoCo issuance: The effects on bank risk". V. Echevarria and S. Sosvilla