Certified Systemic Risk Professional (CSRP) 

Systemic Risk: Measurement, Management, and Mitigation

Introduction:

Systemic risk, often called the risk of collapse within an entire financial system or market, emerged as a critical area of focus following the 2007-2009 global economic crisis. This program is designed to equip participants with a deep understanding of systemic risk, including its drivers, measurement tools, and implications for financial stability. The course will explore theoretical and practical aspects of systemic risk, addressing financial institutions, regulators, and policymakers' challenges in identifying, measuring, and mitigating systemic risks.

Course Objectives:

By the end of this program, participants will be able to:

1. Understand the concept of systemic risk and its significance in the financial system.

2. Identify the key triggers and drivers of systemic risk.

3. Apply various systemic risk measurement techniques, including VaR, CoVaR, and SRISK.

4. Analyze systemic risk's time and cross-sectional dimensions, including financial cycles and spillover effects.

5. Assess the vulnerabilities in financial institutions through stress testing and scenario analysis.

6. Utilize global systemic risk indicators to evaluate financial stability.

7. Develop strategies for mitigating systemic risk within financial institutions and across the financial system.

Who Should Take This Course?

This course is ideal for:

- Financial professionals involved in risk management, including risk officers, analysts, and portfolio managers.

- Central bankers, regulators, and policymakers concerned with financial stability.

- Academics and researchers focused on financial economics, particularly in risk management and economic crises.

- Financial consultants and advisors who provide risk management solutions to financial institutions.

- Graduate students and professionals preparing for advanced finance and risk management roles.

Program Outline:

Understanding Systemic Risk

- Session 1: What is Systemic Risk?

  - Definition and critical characteristics of systemic risk.

  - Triggers of the 2007-2009 financial crisis.

  - Drivers and implications for financial systems.

- Session 2: Measurement of Tail Risk

  - VaR-type tail risk measurement techniques.

  - Unobserved tail risk thresholds: Logit and ROC analysis.

Systemic Risk in Financial Cycles

- Session 3: Time Dimension: Systemic Risk and Financial Cycles

  - Understanding financial cycles and their impact on systemic risk.

  - Measuring financial cycles and their implications for financial stability.

- Session 4: Global Systemic Risk Indicators

  - Introduction to global systemic risk indicators.

  - Estimating global systemic risk: Methodologies and data analysis.

  - Early warning indicators for financial stability.

Spillovers, Contagion, and Cross-Sectional Risk

- Session 5: Cross-Sectional Dimension: Spillovers and Contagion

  - Assessing systemic linkages using network analysis.

  - Identification of Systemically Important Financial Institutions (SIFIs).

  - CoVaR and ΔCoVaR as tools for measuring systemic risk.

- Session 6: Systemic Risk in Shadow Banking

  - Comparison of shadow entities and commercial banks.

  - Systemic risk measures in shadow banking: Theory and empirical applications.

  - Case studies on EU banks and UK shadow entities.

 Stress Testing and Scenario Analysis

- Session 7: Assessing Vulnerabilities through Stress Testing

  - Overview of stress testing architecture.

  - Designing scenarios for stress testing at central banks (e.g., ECB, FED).

  - Stress testing is used to assess systemic vulnerabilities.

- Session 8: Monetary Policy and Systemic Risk

  - The relationship between monetary policy and systemic risk.

  - Empirical results from major central banks (FED, ECB, BoE).

  - Robustness checks using global and local cyclical indicators.

Mitigation and Policy Responses

- Session 9: Strategies for Mitigating Systemic Risk

  - Developing strategies to manage and mitigate systemic risk within institutions.

  - Regulatory frameworks and their effectiveness in systemic risk management.

  - Case studies on successful systemic risk mitigation strategies.

- Session 10: Course Review and Final Assessment

  - Recap of critical concepts and tools learned.

  - Group discussions on current systemic risk issues.

  - Final assessment and feedback.

Program Details:

- Duration:20 hours (5 days, 4 hours per day)

- Format: Online and in-person options available

- Assessment: Participants will be assessed through quizzes, case studies, and a final project.

- Certificate: Participants will receive a certificate of completion upon successful completion of the course.

- Materials: Participants will receive course materials, including readings, case studies, and access to online resources.

This program offers a comprehensive and in-depth exploration of systemic risk, combining theoretical foundations with practical applications. Participants will leave with the knowledge and skills necessary to manage and mitigate systemic risks in today's complex financial environment.