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Financial Sector Policies

Virtual : Advanced Macro-Stress Testing (MST)

Deadline passed

Session No.: ST 21.29V

Location: Singapore, Singapore

Date: December 6-10, 2021 (1 week)

Primary Language: English

    Target Audience

    Mid-level to senior officials working on financial supervision or financial stability in central banks or other supervisory authorities.

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    Participants are expected to have experience with stress testing, Basel regulations, and financial stability analysis.

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    Course Description

    This course, presented by the Monetary and Capital Markets Department (MCM), discusses recent developments in stress testing for banks, insurance companies and mutual funds. It gives participants the opportunity to learn and apply new tools used or created by MCM for purposes of stress testing and systemic risk analysis. New, emerging topics in stress testing, such as feedback loops between real and financial sectors, asset fire-sales, climate change and fintech related risks are also covered. Some of the tools are integral to the Financial Sector Assessment Program (FSAP) and technical assistance missions. Moreover, the course allows participants to share their experiences on stress testing methodologies and financial stability analysis. Guest speakers from industry are also invited to discuss specific topics. The course reviews stress testing objectives, methodologies, techniques, and good practices. Much of the course consists of hands-on modules that expose participants to the entire stress testing cycle: from entering data and estimating macro-financial models to designing scenarios, selecting assumptions, running tests, integrating feedback loops between financial and real sectors, communicating the results, and incorporating them in policy decision making, for example, by informing the calibration of capital and liquidity buffers.

    Throughout the course, the focus is on the scenario design, solvency and liquidity elements of the stress testing exercise and their interactions. The course concludes with a roundtable discussion where participants exchange knowledge and share country experiences.

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    Course Objectives

    Upon completion of this course, participants should be able to:

    • 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.
    • Develop and incorporate models that are capturing second round effects or interactions between different risk types.
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