Postgraduate Course: The Basel Accords (CMSE11462)
||College||College of Arts, Humanities and Social Sciences
|Credit level (Normal year taken)||SCQF Level 11 (Postgraduate)
||Availability||Not available to visiting students
|Summary||Analysts 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 have 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 following the requisites defined by regulators.
After completing this course, students will have an introductory knowledge of bank capital management; a deep conceptual understanding of how to compute the Basel 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; and a critical view on Basel Accords and banking regulation.
- Bank Capital
- Basel Accords - definitions and evolution
- Basel Accords - credit risk
- Basel Accords - market risk
- Basel Accords - operational risk
- Basel Accords - liquidity risk
- Basel Accords and banking regulation - a critical view
Student Learning Experience:
The conceptual points will be illustrated by means of practical examples in lectures and tutorials. The main topics studied in lectures will be reviewed in tutorials. Students will be challenged to identify limitations of the techniques used in risk management and to think what can be improved. Potential ways of overcoming the identified limitations will be discussed in lectures and tutorials.
Tutorial/seminar hours represent the minimum total live hours - online or in-person - a student can expect to receive on this course. These hours may be delivered in tutorial/seminar, lecture, workshop or other interactive whole class or small group format. These live hours may be supplemented by pre-recorded lecture material for students to engage with asynchronously.
Entry Requirements (not applicable to Visiting Students)
||Other requirements|| None
Course Delivery Information
|Not being delivered|
On completion of this course, the student will be able to:
- Critically discuss the role and the management of capital in financial institutions.
- Critically interpret assessments of liquidity, operational, credit and market risk.
- Critically review assessments of liquidity, operational, credit and market risk.
- Critically discuss how to compute the Basel capital requirements.
- Critically evaluate the limitations of capital regulation.
|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.
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 Clothes What's Wrong with Banking and What to Do about It. Princeton and Oxford: Princeton University Press.
|Graduate Attributes and Skills
On completion of the course students will be able to:
- describe the main objectives and the importance of Basel Accords;
- explain the main assumptions and limitations of the methods proposed to estimate capital requirements; and
- describe the evolution of Basel Accords.
Subject Specific Skills:
After completing this course, students should be able to:
- compute the regulatory capital requirement for a bank given specific inputs and different types of risk; and
- perform calculations regarding the management of bank capital.
|Course organiser||Dr Fernando Moreira
Tel: (0131 6)51 5312
|Course secretary||Miss Mary Anne Boeff
Tel: (0131 6)50 8072