ABOUT THIS LEARNING EVENT

This learning event addresses systemic risks and how to identify vulnerabilities in the banking sector. We will discuss top-down stress testing, following the latest guidelines, and present methodologies through practical examples.

Participants will receive a comprehensive overview of systemic risk and financial stability, dimensions and framework of financial stability policy of crisis prevention and management. They will focus on top-down stress tests, focus on dynamic models and discuss latest observations.

Topics to be discussed at this course:

• financial stability, and macroprudential policy framework
• bank-wide and cross-sectoral stress tests
• ECB stress testing toolbox
• top down infrastructure in the EU wide stress test exercise
• setting up a macroprudential stress test exercise
• large model stress testing
• integrating macroeconomic satellite models into solvency stress tests
• lessons learnt from COVID-19 and adapting of stress tests to extreme crisis events
• IMF global stress tests
• climate risks in stress tests

Webinars

Webinars will be delivered as follows:

• Nov 4 @10:00-10:45 introductory meeting, course expectations
• Nov 5 @10:00-11:30 financial stability, systemic risk and stress testing
• Nov 8 @10:30-11:30 ECB framework, top-down stress testing at the ECB
• Nov 8 @14:00-15:30 IMF’s Global Stress Tests
• Nov 9 @10:30-11:30 large model stress testing
• Nov 9 @14:00-15:30 global Corporate Stress Tests—Impact of the COVID-19 Pandemic and Policy Responses
• Nov 10 @14:00-15:30 integration of climate risks into stress tests
• Nov 15 @10:00-11:30 participant assignments presentations
• Nov 16 @10:00-11:30 lessons learnt from COVID-19 and adapting of stress tests to extreme crisis events, discussing further learning needs in the area of financial stability

In addition, participants will be working on a case study exercise that they will need to present at one of the webinars. Active participation is expected at all parts of the course. To be able to take part, participants are required to be equipped with steady internet connection as well as sound and microphone (mandatory). Connecting with camera is highly encouraged.

WHO SHOULD ATTEND

Staff from financial stability and research departments and experts involved in conducting top-down stress tests. The workshop is also intended for senior officials who interact with other economic and financial agencies and policy advisers in units responsible for policy planning and coordination. Central banks and other competent authorities with a financial stability mandate are invited to join.

FACULTY

• Katarzyna Budnik, European Central Bank

Katarzyna is currently an Adviser in the Stress Test Modelling Division at the ECB. She oversights for macroprudential stress testing and policy assessment. She joined the ECB in 2010 and has worked in different areas of Financial Stability and Economics. Prior to moving to the ECB, she was heading the Forecasting Division at the National Bank of Poland. She received her PhD degree (Econ) with honors from the Warsaw School of Economics. Her research interests include macroprudential and monetary policies, banking, macroeconomic modelling and labor markets.

• Alexandru Monahov, Expert Consultant, Financial Stability Division, National Bank of Moldova

Alexandru is currently the Expert Consultant for the Financial Stability Division of the National Bank of Moldova where he specializes in stress testing, macroprudential policy, financial risk indicators and econometric modeling. Previously, he worked as assistant and, subsequently, associate professor at the University of Nice and IAE in France, where he taught Finance, Economics and Business Administration. He developed training and professional education curricula for the Chambers of Commerce and Industry and directed several continuing education programs. Alexandru holds a PhD from the University Cote d’Azur (France) and a Professional Certificate in Advanced Risk Management from the New York Institute of Finance (United States).

• Dimitrios Laliotis, Senior Financial Sector Expert, Monetary and Monetary Markets, International Monetary Fund

Dimitrios is a Senior Financial Sector Expert in the Monetary and Capital Markets Department at the IMF. He has worked on several Financial Sector Assessment Programs (FSAPs), including Canada, Austria, Chile and Mexico and led a number of technical assistance missions to several countries and institutions. Prior to joining the IMF, Dimitris has worked as a Financial Stability Expert in the Macroprudential Policy and Financial Stability department of European Central Bank, the Bank of Greece and the private sector. He holds a PhD in Quantitative Finance from Imperial College, University of London and Engineering Master’s Degrees from Imperial College, University of London and National Technical University of Athens, Greece.

• Thierry Tressel, Senior Economist, Monetary and Monetary Markets, International Monetary Fund

Thierry is a Senior Economist in the Financial Sector Assessments and Policies Division in the Monetary and Capital Markets Departments at the IMF. He was previously in the European Department and the Research Department at the IMF. In 2014-2015, he was a Lead Economist at the World Bank where he led a flagship report. He completed a PhD at DELTA (Ecole des Hautes Etudes en Sciences Sociales, Paris) in 2001, and holds an Engineering Degree from Ecole Polytechnique (France).

• Iskra Sokolovska, Senior Analyst, Financial Stability and Macroprudential Policy Department, Bank of Slovenia

Iskra is a Senior Analyst at the Financial Stability and Macroprudential Policy department at the Bank of Slovenia, working predominantly on climate risk analysis and stress testing. Prior to joining the bank in 2019, she worked as a teaching assistant at the School of Economics and Business of the University of Ljubljana and an analyst in asset management. She obtained her PhD in Economics from the School of Economics and Business of the University of Ljubljana (2020), where she also completed her Bachelor and Masters degree studies in Economics (2012) and Money and Finance (2014).

Partners

This learning initiative was supported by: