Course Schedule 2019

Topics in Systemic Macro-Financial Risk Analysis (JV19.12)


TARGET GROUP | Officials from financial stability/macroprudential analysis departments in central banks, supervisory agencies, and ministries of finance.


QUALIFICATION | Participants should have a degree in economics or finance. Experience with financial stability/macroprudential analysis is highly desirable.


DESCRIPTION | The course consists of three modules.


The first module (2½ days) focuses on the new accounting standard for financial instruments, IFRS9 (effective since January 1, 2018). The module covers the IFRS9 elements that matter most from a macro stress testing and macro risk analysis perspective. The module assigns a high weight to its hands-on training component, giving participants a solid understanding so that they can drive IFRS9-related analytical developments forward at their home institutions. The module emphasizes model risks and uncertainty implied by the framework. Specifically, the first module:


1) develops an introductory understanding of:

a. the principle-based approach of IFRS9 from a credit risk perspective;

b. the principles of staging, stage migration and related criteria; and

c. the forward-looking impairment model, including an overview of modeling choices for the risk parameters involved in the framework;

2) offers a hands-on training for course participants to:

a. see the transition matrix and stock-flow dynamics practically illustrated and work with exemplary models to obtain scenario-conditional paths of the transition matrices;

b. understand the distinction between perfect foresight and the use of multiple scenarios (including probability weighting) and conduct related own calculations; and

c. exemplify the lifetime parameter and implied loan loss provision calculations.


The second module addresses micro data-based forward-looking solvency and liquidity analyses for households (2½ days). The module discusses the availability and use of micro data (such as survey and credit registry data) for conducting household sector-oriented financial stability analyses. The module aims to:


1) develop an introductory understanding of:

a. how household financial distress and fragility can be defined and measured using aggregate as opposed to micro data; and

b. micro data-based household sector analysis as developed in the academic literature and at central banks;

2) offer a hands-on training, including elements of data and analytical tools, for participants to:

a. implement various financial distress measures on exemplary micro survey data; and

b. learn about solvency and liquidity-oriented stress test methods based on micro data.


The conceptual and analytical elements will be linked to borrower-based macroprudential policy tools. For example, participants will learn how the impact of loan-to-value (LTV) ratio caps, debt-service-to-income (DSTI) caps and similar instruments can be assessed using micro data.


The third module covers structural and price-based network and contagion analysis (2 days). It aims to familiarize participants with structural, exposure data-based network analysis tools, as well as with price-based measurement of network structures and contagion. The exposure-based methodologies (which take up about 70 percent of the module) rely on bilateral financial institution-level exposure data, while the price-based methodologies (about 30 percent of the module) use data on market prices of equities, bonds, credit default swaps, and other assets. The module conveys not only an overview of the models used in central banks, but also examples the model methodologies in each category. The module contains numerous hands-on, data-based illustrations. Emphasis will be on how the methodologies can inform macro-financial policy.


Throughout the course, a perspective on how the three topics are connected will be provided. For example, a micro data-based solvency analysis can result in scenario-conditional risk measures for the household segment that can be used to derive the evolution of the transition matrices of the retail loan portfolio of banks, linking thereby to the IFRS9 component.




Upon completion of the course, participants should be able to:


• Understand and apply the basic principles of the IFRS9 accounting standard in a macro stress testing and macro-financial risk analysis context.

• Understand how micro data can be used to develop risk metrics and conduct solvency and liquidity stress tests for the household sector.

• Understand the use of structural- and price-based network and contagion models.


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Course Details

Start: 20190415Apr 15
End: 20190424Apr 24

Language: English

Sponsoring Organization: IMF

Admin Arrangements

Application Deadline: February 01, 2019

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