IMF | STI

Details

Start: 
Mar 14, 2022

End:
Mar 25, 2022

Course Number:
ST22.07V

Application Deadline

Dec 1, 2021

Virtual : Systemic Macro Financial Risk Analysis (MFRA)

March 14 - March 25

Target Audience

Officials from central bank financial stability departments, banking regulatory and supervisory bodies, and ministries of finance.

Qualifications

Participants are expected to have a degree in economics or finance. Experience with financial stability analysis is highly desirable.

Course Description

This course, presented by the Monetary and Capital Markets Department, provides a comprehensive overview of the theories, tools, and techniques necessary for thorough financial stability analysis. Topics include:

• systemic risk assessment using a variety of models: their pros and cons, and how they are related;
• tools for monitoring systemic risk: risk dashboard;
• modeling links and feedback between macroeconomic variables and the financial sector, and vulnerabilities and risks of institutional sectors (banks, nonbank financial institutions, non-financial corporates, households, and general government);
• extracting information from balance sheets and market data;
• macro-financial risk analysis and stress testing of banks and sovereigns;
• impact of credit risk and funding costs of changes in balance sheets and market risk appetite;
• analysis of country cases when high-frequency and market data are available; and
• analysis that can be carried out in data-constrained countries (illustrated by country case studies and workshops with spreadsheets).

Course Objectives

Upon completion of this course, participants should be able to:

• Explain how to use balance sheet and market data to construct risk indicators to measure and monitor sector and systemic risk.
• Summarize the tools and data needed for thorough monitoring of systemic risk. 
• Define data inputs, outputs, and applications of several types of systemic risk models, their pros and cons, and how they relate to one other. 
• Build models that relate macro variables to the time series of risk indicators.
• Analyze risk transmission and feedback between macro variables and risk indicators for banks, nonbank financial institutions, corporates, households and the sovereign.
• Build macroprudential banking stress tests, including funding-solvency interactions.
• Analyze sovereign-bank linkages.