Systemic Macro Financial Risk Analysis (MFRA)

Source details

Target Audience:
- Officials from central bank financial stability departments
- Officials from banking regulatory and supervisory bodies
- Officials from ministries of finance
Qualifications:
- Participants are expected to have a degree in economics or finance
- Experience with financial stability analysis is highly desirable

Systemic risk assessment using a variety of models: their pros and cons, and how they are related
Tools for monitoring systemic risk: risk dashboard
Modeling links and feedback loops between macroeconomic variables and the financial sector
Vulnerabilities and risks of:
- banks
- nonbank financial institutions
- non-financial corporates
- households
- general government
Extracting information from firms’ balance sheets and market data
High level overview of macro-financial risk analysis using stress testing of:
- banks and non-bank financial institutions
- corporates
- households
High level overview of networks: contagion and interconnectedness analysis
Overview of climate risk analysis and stress testing
Analysis of country cases when comprehensive public and market data are available
Analysis that can be carried out in data-constrained countries (illustrated by country case studies and workshops with spreadsheets)

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