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Financial Sector Policies

Macrofinancial Stress Testing

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Session No.: CE 22.27

Location: Kuwait City, Kuwait

Date: October 2-6, 2022 (1 week)

Primary Language: English

    Target Audience

    IMF desk economists and officials working on financial stability in central banks or other supervisory authorities.

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    Qualifications

    Participants are expected to have experience with financial stability analysis.

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    Course Description

    This course, delivered by Monetary and Capital Markets Department (MCM) staff, teaches stress testing for banks and nonbanks, such as insurance companies and mutual funds. While the course touches upon microprudential stress testing, it focuses on macroprudential stress testing and systemic risk. The course reviews stress testing objectives, methodologies, scenario design, and techniques. It gives participants an opportunity to learn tools used by MCM in the Financial Sector Assessment Program and technical assistance missions. As regards banks, the course focuses on credit and market risks, liquidity risk, contagion analysis, interactions between these risks, and feedback loops between real and banking sectors. Emerging risks—such as those related to climate change, cyber, and fintech—are also covered. As regards nonbanks, the course presents the main elements of stress testing for insurance companies and mutual funds, and shows how nonbanks can give rise to systemic risk. Communicating of stress test results, and incorporating them in policy decision making, including calibration of macroprudential policy, is discussed as well. External participants are encouraged to exchange knowledge and share country experiences.

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    Course Objectives

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

    • Link changes in macroeconomic and financial variables with financial results and measure their relative impact on the health of the banking system.
    • Assess the resilience of individual banks and the financial system to solvency, liquidity and contagion risks and their interaction.
    • Analyze the health of nonbank financial institutions, corporates, and households and assess their interconnectedness.
    • Analyze feedback effects between the banking sector and the macroeconomy. 
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