About this learning event

This workshop is a continuation of the series of workshops designed for financial stability officials from central banks. In this iteration, we look at the evolving landscape of financial risk, the modeling that Central Banks undertake, as well as the instruments designed to prevent the build-up and materialization of risk. The objective is to provide participants with knowledge about the latest developments and challenges in the fields of financial stability and stress testing and discuss current approaches with a view towards improving existing practices in the jurisdictions of officials taking part in the course. 

To address key issues in stress testing, we will discuss the macro stress test infrastructure, focusing on credit risk. After presenting the main building blocks of credit risk, credit risk modeling and stress testing, we will delve into the usefulness of such a tool from a (central) bank perspective. To present the infrastructure in a more practical perspective, we will provide many real world examples of modeling credit risk in the changing risk environment of the last few years. While advocating the usefulness, we will also present the limitations and challenges, which one has to bear in mind when interpreting the results.

Furthermore, to consolidate knowledge on financial stability and risk, we will focus on calibrating macroprudential instruments, with the aim of creating policies relevant to an ever changing macroeconomic and financial landscape. To ensure the practical application of the concepts learned, participants will work on an applied case study, which challenges them to construct a composite risk indicator that can be used by the Central Bank to analyze financial and economic risk, as well as calibrate macroprudential instruments such as the:

• Countercyclical Capital Buffer (CCyB) – an instrument which has undergone significant transformations since its initial implementation and whose objective is to keep cyclical systemic risk in check
• Systemic Risk Buffer (SRB) – a highly customizable tool meant to limit long-term systemic risk.
  

Participants will apply innovative methods to construct the risk indicators and, subsequently, calibrate macroprudential tools using the newly produced indices, drawing from the experiences of leading Central Banks which have devoted significant effort towards improving the framework designed to limit systemic risk. An important focus of the workshop is peer learning and, as such, there will be integrated discussions among participating Central Banks on the results of the case studies and other topics of interest to workshop attendees. 

Who should attend

We invite analysts of financial stability departments at central banks and other competent authorities with a financial stability mandate. The workshop will be highly interactive, and participants are required to actively participate at all parts of the event. Therefore, working knowledge of English is required to take part.

Faculty

• Alexandru Monahov, Expert Adviser, National Bank of Moldova 
• Aljoša Ortl, Consultant Analyst, Bank of Slovenia
• Bogdan Mario Durac, Economist, Financial Stability Department, National Bank of Romania

Practical information

The workshop will involve practical work that participants will prepare in groups and/or as individuals. Therefore, participants are encouraged to bring their own laptops to the workshop in order to facilitate work on the exercises and examples. 
Upon successful completion of this event, participants will receive a certificate.

Partners

This learning initiative is supported by: