I am trying to write a file to my C Drive from an Extended Events program using SQL SERVER 2012 but the .xel file does not exist. Any suggestions.

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I am trying to write a file to my C Drive from the Extended Events program below but the .xel file does not exist and does not get written to my C drive.. Any suggestions

CREATE EVENT SESSION query_performance ON SERVER

ADD EVENT sqlserver.sp_statement_completed(

    ACTION(sqlserver.query_hash)

    WHERE sqlserver.database_id = 13 AND sqlserver.query_hash <> 0),

ADD EVENT sqlserver.sql_statement_completed(

    ACTION(sqlserver.query_hash)

    WHERE sqlserver.database_id = 13 AND sqlserver.query_hash <> 0)

ADD TARGET package0.event_file(SET filename = N'C:\Temp\Traces\query_performance.xel');