My primary research interests are systemic risk in financial markets and the banking sector, international financial contagion, credit risk management and applications of Exreme Value theory in financial econometrics.
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. He is currently working on alternative methods of Value-at-Risk prediction for stock market losses.
Ph.D., Rice University, 2009
M.A., Rice University, 2008
B.S., Marmara University (Turkey), 2004
“Hidden Extremal Dependence and Implications for Portfolio Risk.”
“Fundamentals and Natural Gas Volatility Dynamics.”
“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.