Financial Stability and Supervisory Stress Testing – Foundations


TARGET GROUP | Professionals from central banks and other supervisory authorities tasked with macro- or micro-prudential banking stress tests. Participants are expected to have a basic understanding of banking regulation, accounting, statistics and probability. Solid spreadsheet skills (Microsoft Excel) are essential, while practical programming skills are not needed. Participants are expected to give a short presentation about stress-testing approaches used in their central bank/supervisory authority.


DESCRIPTION | This five-day course, presented by Oesterreichische Nationalbank (OeNB) representatives and invited guest speakers working in the area of stress testing, provides a platform to discuss current developments of micro and macro-prudential stress tests from a central bank (or other supervisory authority) perspective. The course focuses on providing the necessary foundations to build stress testing frameworks or extend existing ones. This is achieved by hands-on exercises to deepen the understanding across various areas relevant for applied supervisory stress testing, such as scenario design, top-down model development for different risk types, macro-to-micro satellite models, liquidity stress testing and effective communication of stress test results. This course serves as a foundation and preparation for next year's advanced financial stability and supervisory stress testing course.


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Course Details

Start: 20240115Jan 15
End: 20240119Jan 19

Language: English

Sponsoring Organization: OeNB

Admin Arrangements

Application Deadline: October 23, 2023

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