This is a five-day course that aims to train participants, mostly from central banks, on the theoretical and practical aspects of central bank interventions in foreign exchange markets.

International Monatry Fund (IMF) – Singapore Regional Training Institute (STI)

Course on FX Intervention Rules: A Risk-Based Approach (FIRARBF)

Singapore, April 17 – 21, 2023

Description

This is a five-day course that aims to train participants, mostly from central banks, on the theoretical and practical aspects of central bank interventions in foreign exchange markets. The course is organized by the IMF-Singapore Regional Training Institute (STI) and taught by a team of IMF consultants.

The course includes a blend of lectures and workshops that will cover various topics. Participants will gain knowledge about statistical concepts and their applications in Python, as well as data manipulation and visualization, time-series econometrics, volatility and value-at-risk modeling, and techniques for evaluating, selecting, and interpreting models, which can be applied to triggers for central bank intervention in the foreign exchange market

Overall, the course aims to provide participants with a solid understanding of the theoretical and practical aspects of central bank interventions in foreign exchange markets, along with hands-on experience in using Python and IMF software infrastructure for modeling conditional foreign exchange intervention triggers. The main takeaways for participants include a deeper understanding of FX interventions, statistical concepts, and Python programming. Participants can use this knowledge to improve their skills in their respective roles and advance their careers in the field of finance.

Team

• Romain Lafarguette, Ph.D.: Quant at the Abu Dhabi Investment Authority, former IMF and ECB and IMF External Consultant

• Amine Raboun, Ph.D.: Quant at the Abu Dhabi Investment Authority, IMF External Consultant

• Zhuohui Chen: IMF Research Analyst

Website

The material of the course is available on the course website

Course Materia

• Central Bank Interventions
  • Lecture 1: Theory
  • Lecture 2: International Practice
• Statistics
  • Lecture: Introduction to Key Statistical Concepts
  • Workshop: Data Manipulation and Visualization with Pytho
• Econometrics
  • Lecture: Time Series Econometric
  • Workshop: Timeseries modelling with Python
• Volatility Modeling:
  • Lecture: Forecast Volatility and Value at Risk Modelling
  • Lecture: Advanced Techniques for Model Evaluation, Selection and Combination
  • Workshop: Advanced Voaltility Modelling with Python
• Risk Based Model for Foreign Exchange intervention
  • Lecture: Model introduction
  • Workshop: Model deployment