My primary research interests are quantitative risk modeling, systemic risk measurement, international financial contagion and the financial applications of extreme value theory.
Ibrahim Ergen joined the Federal Reserve Bank of Richmond as a financial economist in 2011. Previously, he had been an economist with the Federal National Mortgage Association (Fannie Mae) and a quantitative research analyst with BP Energy. His current research covers a wide range of quantitative risk modeling topics such as Value-at-Risk prediction for stock portfolios, tail dependence in international stock markets, systemic risk measurement in U.S. banking industry and volatility forecasting for Nymex natural gas futures.
Ph.D., Rice University, 2009
M.A., Rice University, 2008
B.S., Marmara University (Turkey), 2004
“Two step methods in VaR prediction and the importance of fat tails”, Quantitative Finance (forthcoming)
“Tail dependence and diversification benefits in emerging market stocks: An extreme value theory approach”. Applied Economics, Vol.46, No.19 (2014): 2215-2227.
“Tail Dependence in the US Financial Sector and Measures of Systemic Risk” (with E. Balla and M. Migueis). August 2013
“Systemic Risk Analysis of Banking Industry Operational Losses Using Copula Correlations: Evidence from CCAR data” (with A. Abdymomunov)
“Hidden Tail Dependence in International Stock Markets and Implications for Portfolio Optimization” (with H. Inanoglu)
“Modeling Operational Risk for Regulatory Capital”, 2nd Annual Capital Adequacy and Stress Testing Conference, New York, NY, October 2013.
“Tail Dependence in the US Banking Sector and Measures of Systemic Risk” (with E. Balla and M. Migueis). Federal Interagency Quantification Forum, Philadelphia, PA, December 2012.
“Value at Risk Prediction for Emerging Market Stock Indices.” Quantitative Risk Management Seminars, Federal Reserve Board of Governors, Washington, DC, September 2012.
“Value at Risk Prediction for Emerging Market Stock Indices.” Applied Research Seminars, Federal Reserve Bank of Richmond, Richmond, VA, July 2011.
“Hidden Dependence of Extreme Losses in Emerging Market Stock Indices.” Economics Seminars, East Carolina University, Greenville, NC, February 2009.
“Hidden Dependence of Extreme Losses in Emerging Market Stock Indices.” Research Department Seminars, Central Bank of Turkey, January 2009.
“Financial Applications of Extreme Value Theory.” Rice University Econometrics Workshop, Houston, TX, October 2008.
“Are Student Loans the Next Bubble?” S&R Perspectives (Federal Reserve Bank of Richmond) Spring Issue 2012.