IMF | STI

Details

Start: 
January 9, 2023

End:
January 13, 2023

Course Number:
ST23.03

Application Deadline

October 24, 2022

In-Person : Systemic Macro Financial Risk Analysis (MFRA)

January 9 - 13

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 loops between macroeconomic variables and the financial sector, and vulnerabilities and risks of banks, nonbank financial institutions, non-financial corporates, households, and general government; Extracting information from firms’ balance sheets and market data; High level overview of macro-financial risk analysis using stress testing of banks and non-bank financial institutions, corporates, and households; High level overview of networks: contagion and interconnectedness analysis; Overview of climate risk analysis and stress testing; Analysis of country cases when comprehensive public 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.
• Understand climate risk transmission channels.
• Analyze sovereign-bank linkages.