Advanced Course on Financial Stability Stress Testing for Banking Systems

This four-day course, presented by Oesterreichische Nationalbank (OeNB) representatives and invited guest speakers working in the area of stress testing, addresses issues related to the development of top-down stress tests from a central bank (or other supervisory authority) perspective. The course is the follow-up to the introductory-level course “Financial Stability Stress Testing for Banking Systems: An Introduction” offered by the OeNB from 2009 to 2013. Material is presented at an advanced level. The course covers modeling choices and the required econometric/analytical skills ranging from macro-to-micro satellite models to network analysis. Moreover, the course will provide an overview of the OeNB’s new integrated Matlab-based modeling framework. Finally, participants are expected to give short presentations covering their stress testing models and the challenges encountered while running top-down stress tests themselves.