Mar 21, 2022
Mar 30, 2022
Jan 28, 2022
Virtual : Systemic Macro Financial Risk Analysis (MFRA)
March 21 - 30
Officials from central bank financial stability departments, banking regulatory and supervisory bodies, and ministries of finance.
Participants are expected to have a degree in economics or finance. Experience with financial stability analysis is highly desirable.
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).
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.
|Application process:||Please apply online|