JVI plans to resume classroom training as soon as the COVID-19 health situation allows. This course is scheduled to take place at JVI, but may have to be delivered virtually in case safe travel to and in-person training in Vienna will not be possible. The decision to offer virtual instead of onsite training, or a combination of the two (hybrid), will be made within two months of the course start date.
Vaccination against Covid-19 may be required before coming to Vienna.
TARGET GROUP | Officials from central bank financial stability departments, banking regulatory and supervisory bodies, and ministries of finance. Participants should have a degree in economics or finance. Experience with financial stability analysis is highly desirable.
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).
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.