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Systemic Macro Financial Risk Analysis (MFRA)

Financial Sector Policies

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 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).
Read More Topic : Financial Sector Policies

    Target Audience

    Officials from central bank financial stability departments, banking regulatory and supervisory bodies, and ministries of finance.

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    Qualifications

    Participants are expected to have a degree in economics or finance. Experience with financial stability analysis is highly desirable.

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    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.
    • Build macroprudential banking stress tests, including funding-solvency interactions.
    • Analyze sovereign-bank linkages.
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    Apply Now - Application deadline approaching:

    IMF offers online training to government officials and public. Click Learn more to find our current offerings.

    Virtual - Financial Sector Surveillance (FSS)

    English, November 2-6, 2020, Vienna, Austria

    Apply online by September 20, 2020

    Virtual - Financial Development and Financial Inclusion (FDFI)

    English, November 16-27, 2020, Singapore, Singapore

    Apply online by September 21, 2020

    Virtual - Economic Issues in Regional Integration (ERI)

    English (French), October 12-23, 2020, Ebene, Mauritius

    Apply online by September 23, 2020

    Virtual - Fiscal Frameworks (FF)

    English (French), October 26, 2020 - November 6, 2020, Ebene, Mauritius

    Apply online by September 23, 2020

    Virtual - Financial Sector Policies (FSP)

    English (French), November 9-20, 2020, Ebene, Mauritius

    Apply online by September 25, 2020