Systemic Macro Financial Risk Analysis (MFRA)
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Bibliographic details
- Session: CT 24.06
- Location: Beijing, China
- Dates: May 27-31, 2024 (1 week)
- Delivery method: In-person Training
- Primary language: English
Training program overview
- Session No.: CT 24.06
- Location: Beijing, China
- Date: May 27-31, 2024 (1 week)
- Delivery Method: In-person Training
- Primary Language: English
- Presented by: Monetary and Capital Markets Department
Target audience and qualifications
- Target Audience:
- Officials from central bank financial stability departments
- Banking regulatory and supervisory bodies
- Ministries of finance
- Qualifications:
- Participants are expected to have a degree in economics or finance.
- Experience with financial stability analysis is highly desirable.
Course description
- Provides a comprehensive overview of the theories, tools, and techniques necessary for the analysis of risks to financial stability.
- Topics include:
- Development of risk dashboards
- Identification of vulnerabilities
- Use of stress tests of banks (including to assess climate-related risks) and non-financial entities
- Network and contagion analysis
- Methodology:
- Uses real life examples derived mainly from FSAPs
- Allows participants to work on case studies
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
- The sovereign
- Understand climate risk transmission channels.
- Analyze sovereign-bank linkages.