TARGET GROUP | Experts from central banks and other supervisory authorities in charge of (macro) stress testing of financial systems from Central, Eastern and Southeastern Europe (CESEE), as well as the Commonwealth of Independent States (CIS). Participants are expected to have hands-on experience with stress testing, familiarity with basic techniques in statistics and probability, advanced skills with regard to the use of spreadsheets (Microsoft Excel). Practical programming skills (preferably Matlab) are of additional value.
DESCRIPTION | This four-day course, presented by Oesterreichische Nationalbank (OeNB) representatives and invited guest speakers working in the area of stress testing, addresses issues related to the development of top-down stress tests from a central bank (or other supervisory authority) perspective. The course is the follow-up to the introductory-level course “Financial Stability Stress Testing for Banking Systems: An Introduction” offered by the OeNB from 2009 to 2013. Material is presented at an advanced level. The course covers modeling choices, and the required econometric/analytical skills ranging from macro-to-micro satellite models to network analysis. Moreover, participants will get an early view of the new integrated Matlab-based modeling framework of the OeNB and in-depth insight into the IMF’s Excel-based Next Generation Solvency and Liquidity Stress Testing Tools. With regard to the latter, participants will learn the practical application of the tools in computer workshops. Finally, participants are expected to give short presentations covering their stress testing models and the challenges encountered while running top-down stress tests themselves.