Description

Participants will explore how asset bubbles can distort systemic risk and learn a step-by-step empirical methodology combining bubble detection, delta CoVaR risk metrics, and coincident indicators based on dynamic factor models. The course builds on real data from Romania's most liquid listed companies and applies cutting-edge econometric tools, such as the BSADF test and Kalman filtering, to derive insights with practical implications for investors, regulators, and financial analysts.

By the end of the course, attendees will understand:

• The economic risks posed by financial bubbles

• How to detect and date bubbles using advanced time series techniques

• How to measure systemic risk with delta CoVaR

• How to construct and interpret a bubble fragility index using daily data

This course is ideal for researchers, policymakers, and students in finance who want a rigorous yet accessible guide to modern methods of assessing fragility in emerging financial markets.