Macro-Stress Testing (MST)

Source details

Target Audience:
- Mid-level to senior officials working on financial supervision or financial stability in central banks or other supervisory authorities.
Qualifications:
- Participants are expected to have experience with stress testing, Basel regulations, and financial stability analysis.

Focus:
- Recent developments in solvency and liquidity stress testing for banks.
- Tools used or created by MCM for stress testing and systemic risk analysis.
Application and context:
- Tools are integral to the Financial Sector Assessment Program (FSAP) and were used in the context of the most recent China FSAP.
- Content adapted to models that can be used under the specific data environment.
- Emphasis on participant experience sharing on stress testing methodologies and financial stability analysis.
Practical structure:
- Hands-on modules covering the entire stress testing cycle:
- Entering data and estimating macro-financial models.
- Designing scenarios and selecting assumptions.
- Running tests and communicating results.
- Incorporating results into policy decision making (for example, informing the calibration of capital and liquidity buffers).

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.
Be in a position to use and further develop the presented tools and model prototypes.