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Financial Sector Policies

Virtual : Systemic Macro Financial Risk Analysis (MFRA)

Deadline passed

Session No.: ST 22.07V

Location: Singapore, Singapore

Date: March 21-30, 2022 (2 weeks) New dates

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 thorough financial stability analysis. Topics include:

    • 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 between macroeconomic variables and the financial sector, and vulnerabilities and risks of institutional sectors (banks, nonbank financial institutions, non-financial corporates, households, and general government);
    • extracting information from balance sheets and market data;
    • macro-financial risk analysis and stress testing of banks and sovereigns;
    • impact of credit risk and funding costs of changes in balance sheets and market risk appetite;
    • analysis of country cases when high-frequency and market data are available; and
    • analysis that can be carried out in data-constrained countries (illustrated by country case studies and workshops with spreadsheets).
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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.
    • Build macroprudential banking stress tests, including funding-solvency interactions.
    • Analyze sovereign-bank linkages.
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