Systemic Macro-Financial Risk Analysis


TARGET GROUP | 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.

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Course Details

Start: 20240520May 20
End: 20240524May 24

Language: English

Sponsoring Organization: IMF

Admin Arrangements

Application Deadline: March 10, 2024

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