Systemic Macro Financial Risk Analysis

This one and a half-week course, presented by the IMF´s 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 between macroeconomic variables and the financial sector, and vulnerabilities and risks of institutional sectors (banks, nonbank financial institutions, non-financial corporates, households, and general government); extracting information from balance sheets and market data; macro-financial risk analysis and stress testing of banks and sovereigns; impact of credit risk and funding costs of changes in balance sheets and market risk appetite; analysis of country cases when high-frequency 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).