Macro-Stress Testing

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 Middle East and North Africa 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. A large portion of the course incorporates several hands-on training modules. Groups are thereby exposed to the entire cycle of the stress testing process, including: 

• entering data; 

• estimating econometric models to create macro-financial links; 

• designing assumptions; 

• running tests; and 

• 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 exchange knowledge and share country experiences. 

Course Objectives: Upon completion of this course, participants should be able to: 

• Identify different sources of risk. 

• Map changes in macroeconomic variables onto bank variables. 

• Recognize different sources of contagion. 

• Assess resilience. 

• Assess adequacy of liquidity management.