Contingent Claims Analysis (CCA) and Macro Financial Risk Analysis. Santiago, Chile. June 30th- July 1st, 2016.
This course focused on the use of CCA as a supplement to traditional stress testing, combining both bank and sovereign stress testing. The analysis of CCA (for corporates and banks) will be applicable for daily data of FSD countries. This course was delivered by Dale Gray (senior risk expert in the Monetary and Capital Markets Department of the IMF).
Financial Markets and Monetary Policy. Brasilia, Brazil. August 3rd-5th, 2016.
The purpose of this course was to introduce junior staff to the central features of modern macroeconomic theory that allows us to understand recent economic developments in the global economy as well as the foundations for macroeconomic policies to preserve financial and price stability from the point of view of central banks. The course was delivered by Prof. José De Gregorio (Department of Economics at University of Chile).
Global Projection Model. Brasilia, Brazil. August 8th-12th, 2016.
The Global Projection Model (GPM) is a quarterly forecasting model of the global economy that allows producing extended macroeconomic forecasts considering spillovers between the different regions of the world. The Central Bank of Brazil opened its training course to FSD central banks considering the possibility of using this tool or interested in getting acquainted with the techniques used in the GPM, which is used by IMF and other central bank counterparts.
VARs For Quantitative Analysis In Central Banking. Lima, Peru. August 15-19th, 2016.
The course in VARs for quantitative Analysis for central banking had the following objectives: (i) offer to the participants the recent developments of estimation and inference with VAR methodology; and (ii) discuss practical applications for central banks of Bayesian vector auto regression models, factor models and Factor augmented VARs, global VARS and Panel VARS. This course was taught by Prof. Fabio Canova (Norwegian Business School and the Florence School of Banking and Finance).
Capital Planning & Stress Testing. Montevideo, Uruguay. October 24th-28th, 2016.
This activity was aimed to central bank professionals responsible of doing stress testing. It was jointly organized by the Central Bank of Uruguay and the Asociación de Supervisores Bancarios de las Américas. The course was taught by specialists from the Federal Reserve of the United States. It also included a discussion panel in which three central banks of the FSD shared their experiences, challenges and perspectives in their capital planning and stress testing practices.
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