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Systemic Macro Financial Risk Analysis (MFRA)

Target Audience

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

Qualifications

Participants should 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.
Language: English
Application process: Please apply online

Details

Start:
Mar 30, 2020
End:
Apr 10, 2020
Course Number
ST20.08

Application Deadline

Nov 30, 2019