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Financial Sector Policies

Systemic Macro Financial Risk Analysis (MFRA)

Invitation

Session No.: CT 24.06

Location: Beijing, China

Date: May 27-31, 2024 (1 week)

Delivery Method: In-person Training

Primary Language: English

    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 Description

    This course, presented by the Monetary and Capital Markets Department, provides a comprehensive overview of the theories, tools, and techniques necessary for the analysis of risks to financial stability. Topics include the development of risk dashboards; identification of vulnerabilities; the use of stress tests of banks (including to assess climate-related risks) and non- financial entities, and network and contagion analysis. The course will use real life examples derived mainly from FSAPs and will allow participants to work on case studies.

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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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