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Macro-Stress Testing (MST)

Financial Sector Policies

This course, presented by the Monetary and Capital Markets Department (MCM), discusses recent developments in stress testing for banks, insurance companies and mutual funds. The course is also adapted to regional specificities, such as the one offered for the Middle East and Northern Africa (MENA) region includes analysis of Islamic finance. This course gives participants the opportunity to learn and apply new tools used or created by MCM for purposes of stress testing and systemic risk analysis. New, emerging topics in stress testing, such as feedback loops between real and financial sectors, asset fire-sales, climate, systemwide liquidity and fintech related risks are also covered. Some of the tools are integral to the Financial Sector Assessment Program (FSAP) and technical assistance missions. Moreover, the course allows participants to share their experiences on stress testing methodologies and financial stability analysis. In many cases, guest speakers from industry are also invited to discuss specific topics. The course reviews stress testing objectives, methodologies, techniques, and good practices. Much of the course consists of hands-on modules that expose participants to the entire stress testing cycle: from entering data and estimating macro-financial models to designing scenarios, selecting assumptions, running tests, integrating feedback loops between financial and real sectors, communicating the results, and incorporating them in policy decision making, for example, by informing the calibration of capital and liquidity buffers.

Throughout the course, the focus is on the scenario design, solvency and liquidity elements of the stress testing exercise and their interactions. The course concludes with a roundtable discussion where participants exchange knowledge and share country experiences.

Read More Topic : Financial Sector Policies

    Target Audience

    Mid-level to senior officials working on financial supervision or financial stability in central banks or other supervisory authorities.

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    Qualifications

    Participants are expected to have experience with stress testing, Basel regulations, and financial stability analysis.

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    Course Objectives

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

    • Identify main sources of financial stability risk.
    • Summarize the principles for developing macro-financial stress scenarios.
    • Link changes in macroeconomic and financial variables with financial results and measure their relative impact.
    • Assess the resilience of individual entities and the financial system to solvency and liquidity stress.
    • Develop and incorporate models that are capturing second round effects or interactions between different risk types.
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    Upcoming Offering

    Start date End date Location Session No. Primary & (Interpretation) language Apply
    December 6, 2021 December 10, 2021 Singapore, Singapore ST 21.29V English Apply online by October 8, 2021
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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 : Balance Sheets and Accumulation Accounts (BSAA)

    English, November 1-12, 2021, Singapore, Singapore

    Apply online by September 20, 2021

    Virtual : Exchange Rate Policy (ERP)

    English, November 8-19, 2021, Singapore, Singapore

    Apply online by September 21, 2021

    Virtual : Macroeconomic Diagnostics (MDS)

    English, September 27, 2021 - October 7, 2021, New Delhi, India

    Apply online by September 22, 2021

    Virtual : Fiscal Sustainability (FS)

    English (Arabic), November 1-11, 2021, Kuwait City, Kuwait

    Apply online by September 24, 2021

    Revenue Forecasting and Analysis (RFAx)

    English, October 1, 2021 - November 26, 2021, Course conducted online

    Apply online by September 24, 2021