Ibrahim Ergen
Federal Reserve System
11 Papers
49 Citations
Ibrahim Ergen is an academic researcher from Federal Reserve System. The author has contributed to research in topics: Operational risk & Tail dependence. The author has an hindex of 5, co-authored 11 publications.
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Papers
Tail dependence and indicators of systemic risk for large US depositories
TL;DR: In this article, the authors investigated the extreme loss tail dependence between stock returns of large US depository institutions and developed a set of firm-level average extremal dependence measures, which could have been used to identify the firms that were more vulnerable to the 2007-2008 financial crisis.
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Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach*
Ibrahim Ergen,Islam Rizvanoghlu +1 more
TL;DR: In this article, the authors investigated the determinants of daily volatility for natural gas nearby-month futures traded on the NYMEX within a GARCH framework augmented with market fundamentals and found that volatility is much higher on the natural gas and crude oil storage report announcement days, on Mondays and during winters.
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Two-step methods in VaR prediction and the importance of fat tails
TL;DR: In this paper, a two-step methodology for value-at-risk prediction is proposed, where the first step involves estimation of a GARCH model using quasi-maximum likelihood estimation and the second step uses model filtered returns with the skewed t distribution of Azzalini and Capitanio [J. R. Stat. Soc. B, 2003, 65, 367-389].
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Tail dependence and diversification benefits in emerging market stocks: an extreme value theory approach
TL;DR: In this paper, the authors examined tail dependence, the benefits of diversification and the relation between the two for emerging stock markets and found that the dependence in finite levels of extremes is still much stronger than the dependence implied by multivariate normality.
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Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry
Azamat Abdymomunov,Ibrahim Ergen +1 more
TL;DR: In this paper, the authors analyze the dependence among operational losses within banks and across banks and find evidence of relatively strong dependence among tail losses of different operational loss types within banks, which suggests the presence of systemic risk from the simultaneous occurrence of operational tail losses in different large banks.
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