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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 loops between macroeconomic variables and the financial sector, and vulnerabilities and risks of banks, nonbank financial institutions, non-financial corporates, households, and general government;
  • Extracting information from firms’ balance sheets and market data;
  • High level overview of macro-financial risk analysis using stress testing of banks and non-bank financial institutions, corporates, and households;
  • High level overview of networks: contagion and interconnectedness analysis;
  • Overview of climate risk analysis and stress testing;
  • Analysis of country cases when comprehensive public 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.
    • Understand climate risk transmission channels.
    • Analyze sovereign-bank linkages.
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    Upcoming Offering

    Start date End date Location Session No. Primary & (Interpretation) language Apply
    January 9, 2023 January 13, 2023 Singapore, Singapore ST 23.03 English Deadline passed
    May 29, 2023 June 7, 2023 Vienna, Austria JV 23.15 English Apply online by March 5, 2023
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    Apply Now - Application deadline approaching:

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

    Monetary and Financial Statistics - Advanced (MFS-A)

    English (Arabic), January 9-20, 2023, Kuwait City, Kuwait

    Apply online by December 2, 2022

    Financial Development and Financial Inclusion (FDFI)

    English (French), January 9-27, 2023, Ebene, Mauritius

    Apply online by December 2, 2022

    Financial Programming and Policies (FPP)

    Arabic, January 15-26, 2023, Kuwait City, Kuwait

    Apply online by December 4, 2022

    Understanding, Assessing and Managing Fiscal Risks (UAMFR)

    English (Russian), February 27, 2023 - March 3, 2023, Vienna, Austria

    Apply online by December 4, 2022