Macro Stress Testing (MST)

Course details

Target Audience:

Mid-to senior-level officials working in the banking supervision or financial stability departments/units of central banks or banking supervisory authorities.

Qualification:

Participants should have experience in the area of stress testing, Basel II and financial stability analysis.

Language:

The course is conducted in English only. Due to the technical nature of the course, English proficiency is a prerequisite.

Course Description:

This course, presented by the IMF’s Monetary and Capital Markets Department, aims at discussing the recent developments in the area of stress testing for banks, and giving participants the opportunity to learn and apply new tools developed or used by MCM for stress testing purposes. Some of the tools form an integral part of the Financial Sector Assessment Program (FSAP) and Technical Assistance missions to various parts of the world including the MENA region. Moreover, the course provides an occasion for participants to share experiences in this important area.

The course provides an overview of the objectives of stress testing and of the different methodologies and techniques currently used for that purpose; it also advises on some best practices to follow in applying these techniques. Furthermore, a large portion of the course incorporates several hands-on training modules based on case studies where participants work in groups using real bank data; as such, groups are exposed to the entire cycle of the stress testing process, including

1. entering data;
2. estimating econometric models to create macro-financial links;
3. designing assumptions;
4. running tests; and
5. summarizing and presenting the results.

Throughout, the focus is on the solvency and liquidity elements of the stress testing exercise. The course concludes with a roundtable discussion where participants share country experiences and exchange knowledge in this area.