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 systemic risk measurement in U.S. banking industry, market risk quantification, Value-at-Risk prediction, diversification benefits and financial contagion in international stock markets, and volatility forecasting for NYMEX natural gas futures.
Ph.D., Rice University, 2009
M.A., Rice University, 2008
B.S., Marmara University (Turkey), 2004
Ergen, I., and Ridvanoglu, I. (2016). “Asymmetric Impacts of Fundamentals on the Natural Gas Futures Volatility: An Augmented GARCH Approach”, Energy Economics, Vol. 56, pgs. 64-74.
Curti, F., Ergen, I., Le, M., Migueis, M., and Stewart, R. (2016) Benchmarking Operational Risk Models, Finance and Economics Discussion Series, Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, DC.
Ergen, I. (2015). “Two step methods in VaR prediction and the importance of fat tails”, Quantitative Finance, Vol. 15, pgs. 1013-1030.
Balla, E., Ergen, I. and Migueis, M. (2014). “Tail Dependence and Indicators of Systemic Risk for Large US Depositories”, The Journal of Financial Stability, Vol. 15, pgs. 195-230.
Ergen, I. (2014). “Tail dependence and diversification benefits in emerging market stocks: An extreme value theory approach”, Applied Economics, Vol.46, No. 19, pgs. 2215-2227.
“Correlations and Systemic Risk in Operational Losses of the U.S. Banking Industry” SSRN working paper (with A. Abdymomunov). 2016.
“Diversification Benefits and International Financial Contagion: The Impact of Hidden Asymptotic Dependence” (with H. Inanoglu). March 2015.
“Tail Dependence in the US Financial Sector and Measures of Systemic Risk” (with E. Balla and M. Migueis). August 2013.
“Conditional Expected Shortfall (Co-ES) as a Systemic Risk Measure: A Copula Approach” (with I. Rizvanoghlu)
“Diversification Benefits and International Financial Contagion: The Impact of Hidden Asymptotic Dependence”, Financial management association annual meetings, October 2015, Orlando, FL.
“Modeling Operational Risk for Regulatory Capital,” 2nd Annual Capital Adequacy and Stress Testing Conference, New York, New York, 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, Pennsylvania, December 2012.
“Value at Risk Prediction for Emerging Market Stock Indices,” Quantitative Risk Management Seminars, Federal Reserve Board of Governors, Washington, DC, September 2012.
“Hidden Dependence of Extreme Losses in Emerging Market Stock Indices,” Economics Seminars, East Carolina University, Greenville, North Carolina, 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, Texas, October 2008.
“Are Student Loans the Next Bubble?” S&R Perspectives (Federal Reserve Bank of Richmond), Spring Issue 2012.