Collateral and Risk Management Framework (CRMF)

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The Collateral and Risk Management Framework (CRMF) training program explains the collateral and risk management framework that central banks should develop for their standard monetary operations and emergency liquidity assistance (ELA).
Course coverage includes asset eligibility, valuation, risk control measures, haircut modeling, and conditionality in the case of ELA.
The course discusses specific topics such as accepting credit claims as collateral and extending liquidity support to non-bank financial institutions of systemic importance.
The course includes an ELA simulation (case study) run.

Target audience:
- Mid- to senior-level officials in central banks interested in collateral and risk management framework, working in monetary policy operation, banking supervision, financial stability departments.
Qualifications expected of participants:
- Professional experience in central bank operations, risk management, financial markets, or related quantitative fields.
- A solid understanding of monetary policy, financial stability, and collateral frameworks.
- Analytical skills and the ability to design effective policy solutions.
- Programming skills in Matlab are a plus.

Participants completing the CRMF course should be able to:

Identify key factors for collateral eligibility, such as safety, liquidity, legal certainty, and availability in the banking system.
Compare narrow and broad collateral frameworks, including their benefits and risks.
Understand how to value different types of assets in both liquid and illiquid markets.
Explain the concept of risk equivalence and how it helps guide collateral selection and risk control.
Explore tools for managing risk, including haircuts, margin calls, and concentration limits.
Examine the challenges and benefits of expanding collateral eligibility, including foreign assets and credit claims, especially during crises.

Asset eligibility criteria: safety, liquidity, legal certainty, availability in the banking system.
Valuation approaches for liquid and illiquid assets.
Risk control measures: haircut modeling, margin calls, concentration limits.
Risk equivalence concept as a guide for collateral selection.
Conditionality and design considerations for Emergency Liquidity Assistance (ELA).
Treatment of credit claims as collateral.
Extending liquidity support to non-bank financial institutions of systemic importance.
Practical ELA case-study simulation to apply framework concepts.