Target participants

Macro-prudential Supervision School is designed for individuals with approximately 12 to 18 months of relevant experience. Attendees are typically involved in supervision and bank examination. Individuals involved in quantitative issues may also find the course helpful

Prerequisites

There will be pre-course reading for this course, which should take approximately six hours.

Course overview

This course is intended to give participants the framework to design and implement the processes for Macro prudential supervision. The course will focus on both the major factors and methodologies for Macro prudential supervision. In addition to this, participants will learn about stress testing and how to take remedial action when less than satisfactory results occur.

Course objectives

Upon completion of this 5-day course, the participant will, at a minimum, be able to

Understand the principles of macro prudential regulation and its importance. Identify the macro-economic factors that affect a bank's balance sheet. Examine the various models used to measure macro-economic effects Develop a macro-economic model for an economy including stress testing. Understand the corrective measures that can be taken when stress testing provides unsatisfactory scenarios.

Case studies

Case study work is important for this course. It will primarily focus around a three bank economy where macro-economic factors will be related to their balance sheets. Effects on capital, liquidity and earnings will be a particular focus.

• Case 1: Examination of a stress test report and assessment of core assumptions.
• Case 2: Examination of an economy and identification of macro-economic risk factors.
• Case 3: Development of a model of macro-economic effect on bank balance sheets.
• Case 4: Stress testing each bank.
• Case 5: Ranking of banks and assessment of required remedial actions.

Participants will work on each case and be taken through each stage, step by step.