Systemic Macro Financial Risk Analysis (MFRA)
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 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; and
- Analysis that can be carried out in data-constrained countries (illustrated by country case studies and workshops with spreadsheets).
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 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.
Upcoming Offering
Start date | End date | Location | Delivery Method | Session No. | Primary & (Interpretation) language | Apply |
---|---|---|---|---|---|---|
June 9, 2025 | June 20, 2025 | Vienna, Austria | In-person Training | JV 25.16 | English | Apply online by March 2, 2025 |
Macroeconomic Policy Communication Blended
English (English) | January 20-24, 2025 | Blended Training | Singapore, Singapore
Apply online by November 8, 2024
Government Finance Statistics - Advanced (GFS-A)
English | February 10-21, 2025 | In-person Training | Singapore, Singapore
Apply online by November 10, 2024
Strengthening Revenue Administration for Gender Equality
English | December 9-11, 2024 | In-person Training | New Delhi, India
Apply online by November 11, 2024
Cyber Risk Supervision - Path to Operational Resilience (CRS)
English (Arabic) | January 12-16, 2025 | In-person Training | Kuwait City, Kuwait
Apply online by November 11, 2024
Cyber Risk Supervision (CRS)
English | January 20-24, 2025 | In-person Training | New Delhi, India
Apply online by November 12, 2024