Mid- to senior-level officials working in the banking supervision or financial stability departments/units of central banks or banking supervisory authorities.
Participants should have experience in stress testing, Basel II, and financial stability analysis.
This course, presented by the IMF’s Monetary and Capital Markets Department, aims at discussing the recent developments in the area of stress testing for banks, and giving participants the opportunity to learn and apply new tools developed or used by MCM for stress testing purposes. Some of the tools form an integral part of the Financial Sector Assessment Program (FSAP) and Technical Assistance missions to various parts of the world including the ASEAN region. Moreover, the course provides an occasion for participants to share experiences in this important area. The course aims at financial economists, supervisors with some background knowledge in risk management and stress testing. The course is the follow-up to the introductory-level course of the “Macro Stress Testing” course given at the STI a year ago. This year the key focus is on several advanced techniques of stress testing including applications for macroprudential policy; it also advises on some best practices to follow in applying these techniques. A large portion of the course incorporates several hands-on training modules.
Groups are thereby exposed to the entire cycle of the stress testing process, including:
– entering data;
– estimating econometric models to create macro-financial links;
– designing assumptions;
– running tests; and
– summarizing and presenting the results
Throughout, the focus is on the solvency and liquidity elements of the stress testing exercise. The course concludes with a round-table discussion where participants exchange knowledge and share country experiences.
Upon completion of this course, participants should be able to:
- Identify different sources of risk.- Map changes in macroeconomic variables onto bank variables.
- Recognize different sources of contagion.
- Asses resilience.
- Assess adequacy of liquidity management.