Systemic Macro Financial Risk Analysis
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Bibliographic details
- Session: ST 24.01
- Location: Singapore, Singapore
- Dates: January 8-12, 2024 (1 week)
- Delivery method: In-person Training
- Primary language: English
- Status: Deadline passed
Target Audience
- Officials from central bank financial stability departments, banking regulatory and supervisory bodies, and ministries of finance.
Qualifications
- Participants are expected to have a degree in economics or finance.
- Experience with financial stability analysis is highly desirable.
Course Details
- Deadline passed
- Session No.: ST 24.01
- Location: Singapore, Singapore
- Date: January 8-12, 2024 (1 week)
- Delivery Method: In-person Training
- Primary Language: English
- Presented by: Monetary and Capital Markets Department
Course Description
This course 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 loops between macroeconomic variables and the financial sector, and vulnerabilities and risks of banks, nonbank financial institutions, non-financial corporates, households, and 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, and 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)
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.
- Understand climate risk transmission channels.
- Analyze sovereign-bank linkages.