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 Workshop on Macroprudential Modeling Theoretical Basics

We would like to thank all participants for their contributions to the workshop.

Format

  • Lectures accompanied by simulation exercises

Content

  • Key features of macroprudential models: what features are necessary for a macroprudential model to be useful?
  • GIMM in-house modeling framework: overview and derivation of key equations
  • Possible alternative approaches, their pros and cons
  • Discussion of key parameters, sensitivity of the results to these parameters, calibration strategies
  • Overview of commonly used frameworks, their strengths and weaknesses
  • Advanced topics in scenario building: role of expectations for macroprudential policy modeling
  • Climate-related risks

Benefits

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: November 27 - December 1, 2023, 5 day event

Place: Prague, Czech Republic