Bank Regulation
Code
2246
Academic unit
null
Department
null
Credits
null
Teacher in charge
Vitor Viana Lopes
Teaching language
Objectives
This course is devoted to the analysis of banking regulation, mainly the Solvency Regulation. In an environment of higher capital requirements the banking management is challenged to solve the optimal capital allocation on the several business lines. The knowledge about the regulatory view of risk and consequently the capital allocation, capital mitigation, and risk adjusted profitability will be the key to the bank management.
Prerequisites
Subject matter
-Historical view on Basel Accords the path of evolution in the regulatory view about risk management
-Concept of capital driven by risk
-Eligible Capital and Capital Requirements for each risk
-The regulatory view about other risks (Liquidity and Settlement risk, Interest rate risk, Exchange risk, Concentration risk, Information systems risk, Strategic risk, Compliance risk, Reputational risk, among others)
- The auto evaluation of economic capital
- The market view about activity risks and market communication
- Capital Requirements calculation process in the organizations: strengths and weakness
- The weaknesses of the capital regulation and the resolution mechanisms
- The European Banking Union architecture
Bibliography
Teaching method
This course is delivered through class lectures. Lectures: there are 12 formal lectures in which relevant topics are presented, together with discussions on related case-studies.
Evaluation method
Individual Assignments:
- Final exam ____________________________________________________________ (70%)
- Class participation ______________________________________________________ (10%)
- Case Studies _________________________________________________________ (20%)