Macro-Stress Testing (MST)

Source details

Target Audience: IMF desk economists and officials working on financial stability in central banks or other supervisory authorities.
Qualifications: Participants are expected to have experience with financial stability analysis.

Delivered by Monetary and Capital Markets Department (MCM) staff.
Focus: Macroprudential stress testing and systemic risk; touches upon microprudential stress testing but concentrates on macroprudential aspects.
Reviews: Stress testing objectives, methodologies, scenario design, and techniques.
Tools: Opportunity to learn tools used by MCM in the Financial Sector Assessment Program and technical assistance missions.
Banking focus: Credit and market risks, liquidity risk, contagion analysis, interactions between these risks, and feedback loops between real and banking sectors.
Emerging risks covered: Risks related to climate change, cyber, and fintech.
Nonbanks: Presents main elements of stress testing for insurance companies and mutual funds, and shows how nonbanks can give rise to systemic risk.
Policy and communication: Communicating stress test results and incorporating them in policy decision making, including calibration of macroprudential policy.
Peer exchange: External participants are encouraged to exchange knowledge and share country experiences.

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.