Predicting Rare Events: Evaluating Systemic and Idiosyncratic Risk, September 28-29, 2012
Motivated by global financial events of the recent past, the workshop showcases the latest research on forecasting rare, but systemic, events as well as monitoring more idiosyncratic risks. Experts from the academic, regulatory, and practitioner communities came together to discuss the interface between cutting-edge research methods and best-practice risk-management techniques.
- 2010s
- Predicting Rare Events: Evaluating Systemic and Idiosyncratic Risk [Agenda]
- Keynote Address: Thoughts on Event Forecasting: Idiosyncratic and Systemic Aspects [Presentation]
- Stress-Testing U.S. Bank Holding Companies: A Dynamic Panel Quantile Regression Approach
- VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles
- Predictive Dynamics in Commodity Prices
- Predictive Dynamics in Commodity Prices [Presentation]
- Is the Potential for International Diversification Disappearing?
- Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach [Presentation]
- When Credit Bites Back: Lessons from Economic History [Presentation]
- Financial Network Systemic Risk Contributions
- Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
- Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk [Presentation]
- Computing Early-Warning Pattern-Information in the Dawn of Crisis: A Captive Monkey System and a Banking System
- Enhanced Stress Testing and Financial Stability
- Improving EWIs for Banking Crises - Satisfying Policy Requirements
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Federal Reserve Bank of San Francisco
