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DRPS : Course Catalogue : Business School : Common Courses (Management School)

Postgraduate Course: The Basel Accords and Current Issues in Banking and Risk (CMSE11347)

Course Outline
SchoolBusiness School CollegeCollege of Arts, Humanities and Social Sciences
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) AvailabilityAvailable to all students
SCQF Credits15 ECTS Credits7.5
SummaryAnalysts and managers in charge of the risk function in banks have to have knowledge of how to measure and predict the amount of operational, credit, market and liquidity risks the bank faces and how these amounts affect the amount of regulatory and economic capital a bank should retain to protect depositors and the market from unexpected events. The aim of this course is to give students a detailed technical knowledge and understanding of how to do this using the latest methodologies and taking into consideration issues currently faced by financial institutions.
Course description Aims, Nature, Context

After completing this course, students will have a deep conceptual understanding of how to compute the Basel II and III capital requirements in terms of credit, market, operational and liquidity risk; an understanding of the strengths and weakness of the techniques/ approaches used in the aforementioned calculations; a critical view on Basel Accords and banking regulation; and knowledge of current challenges faced by financial institutions.


Basel Accords - definitions
Basel II & Basel III
Basel Accords - credit risk
Basel Accords - market risk
Basel Accords - operational risk
Basel Accords - liquidity risk
Basel Accords and banking regulation - a critical view
Current issues in Banking and Risk

Student Learning Experience

The conceptual points will be illustrated by means of practical examples in lectures and tutorials. The topics studied in lectures will be reviewed in tutorials. Students will be challenged to identify limitations of the techniques used in the financial market and to think what can be improved. Potential ways of overcoming the identified limitations will be discussed in lectures and tutorials.
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Co-requisites
Prohibited Combinations Other requirements None
Information for Visiting Students
High Demand Course? Yes
Course Delivery Information
Not being delivered
Learning Outcomes
On completion of this course, the student will be able to:
  1. Critically interpret assessments of liquidity, operational, credit and market risk.
  2. Apply models to assess different types of risk within banks.
  3. Critically review assessments of liquidity, operational, credit and market risk.
  4. Critically discuss how to compute the Basel II and III capital requirements.
  5. Critically discuss the importance of risk evaluation and of the uncertainties and complexity of the methods that can be used to deal with current issues faced by financial institutions.
Reading List
Wernz, Johannes (2013). Bank Management and Control: Strategy, Capital and Risk Management. (Main textbook).
Resti, A., Sironi, A. (2007). Risk Management and Shareholders: Value in Banking. John Wiley & Sons.
Bessis, J (2010). Risk Management in Banking. John Wiley & Sons, 3rd ed.
Alexander, Carol (2009). Value-at-Risk Models, Volume IV. John Wiley & Sons.
Myerson, Roger B. (2014). Rethinking the Principles of Bank Regulation: A Review of Admati and Hellwig's The Bankers, New Clothes. Journal of Economic Literature, 52(1), pp. 197-210.
Admati, A., Hellwig, M. (2013). The Bankers,New Clothers , What's Wrong with Banking and What to Do about It. Princeton and Oxford: Princeton University Press.

Resource List:
Additional Information
Graduate Attributes and Skills Subject Specific Skills:

After completing this course, students should be able to:

- Compute unexpected loss using portfolio models;
- Compute the regulatory capital requirement for a bank given specific inputs;
- Critically evaluate the main requirements in the Basel Accords;
- Analyse (theoretically and empirically) particular current issues in banking and risk management.

KeywordsNot entered
Course organiserDr Fernando Moreira
Tel: (0131 6)51 5312
Course secretaryMrs Kelly-Ann De Wet
Tel: (0131 6)50 8071
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