Workshop on on Building Scenarios With Macroprudential Models
Format
- Lectures accompanied by hands-on simulation exercises
Content
Scenario building is a key application of macroprudential models. Certain risks, such as climate risks, can only be effectively analyzed within scenarios. However, constructing scenarios using macroprudential models presents unique challenges. This workshop covered the entire process of scenario building, from narrative development to implementation and interpretation. Topics included:
- Building scenario narratives: Developing rich narratives that enable proper construction and interpretation of scenarios.
- Quantification of scenarios: Utilizing data and other information to determine the quantitative inputs for scenarios. * Incorporating external inputs: Conditioning scenarios on various inputs, such as macroeconomic forecasts.
- Types of scenarios: Exploring different types of scenarios, including top-down stress tests, climate risk scenarios, macroprudential policy interventions, and more.
- Interpretation of scenario results: Understanding and acknowledging uncertainties in scenario outcomes.
The workshop was based on the in-house GIMM modeling framework implemented in Python.
Benefits
Participants learned about theoretical and practical aspects of constructing macroprudential models, focusing on model features that are important for use in policy institutions.
Participants received the following:
- Complete modeling framework - equations, documentation, understanding of key transmission channels
- Commented codes - model files, simulation files, data files, reporting files
- Presentations
When, where
Dates: October 20-23, 2025, 4 day event
Place: Prague, Czech Republic