Systemic Macro-Financial Risk Analysis

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).