Workshop May 2025: Financial Tail Risk Forecasting

We are pleased to announce that Vincenzo CANDILA from the University of Salerno (UNISA) will be conducting a two-day workshop on Financial Tail Risk Forecasting on May 6-7, 2025. Students can earn 1 ECTS credit for participating in this course as an elective. The course will be held in the faculty meeting room on the 3rd floor of the Sowi Campus.

If you are interested, please write an e-mail to Verena.Baumgartner@uibk.ac.at.

The workshop will cover the following topics:

1. Introduction to risk measures

• Value-at-Risk (Jorion, 1997).
• Expected Shortfall (Artzner et al., 1999).
• Properties of risk measures (Artzner et al., 1999).

2. Estimating risk measures

• Parametric models (GARCH, Engle, 1982; GJR, Glosten et al., 1993; RiskMetrics, JP Morgan, 1996; Realized GARCH, Hansen et al., 2012; GARCH-MIDAS, Engle et al., 2013.
• Non-parametric models (Historical Simulation, Hendricks, 1996).
• Semi-parametric models (CaViaR, Engle and Manganelli, 2004; CaViaR-X, Gerlach and Wang, 2020; MF-QR-X, Candila et al., 2023).

3. Backtesting risk measures

• Evaluation of VaR forecasts (Unconditional, Kupiec, 1995; Conditional, Christoffersen, 1998; and Dynamic Quantile, Engle and Manganelli, 2004; tests).
• Evaluation of ES forecasts (Regression based tests, Bayer and Dimitriadis, 2022).
• Joint evaluation of VaR and ES forecasts (Model Confidence Set using the FZLoss, Hansen et al, 2011; Patton et al., 2019).

4. Empirical application with R

• Estimation and evaluation of the set of models presented using a stock market index.