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 one and a half-week course, presented by the IMF´s 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 between macroeconomic variables and the financial sector, and vulnerabilities and risks of institutional sectors (banks, nonbank financial institutions, non-financial corporates, households, and general government); extracting information from balance sheets and market data; macro-financial risk analysis and stress testing of banks and sovereigns; impact of credit risk and funding costs of changes in balance sheets and market risk appetite; analysis of country cases when high-frequency 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. Build macroprudential banking stress tests, including funding-solvency interactions. Analyze sovereign-bank linkages.