Παρουσίαση/Προβολή

(LOXR304) -  KONSTANTINOS DRAKOS

Περιγραφή Μαθήματος

In this course we will touch upon the latest developments in contemporary Banking. We will start by presenting the so-called credit market outcomes and then analyze the anatomy of typical bank’s balance sheet in order to understand its basic operations and the resulting intermediation and financial risks that arise.

 

Then we will discuss the appropriate and regulation consistent methods for measuring these intermediation and financial risks (Interest Rate Risk/Duration Gap, Market Risk, Credit Risk).

 

Contemporary banking is subject to heavy regulation (see Basel I, II, III), initially with regards to Capital Adequacy. We will discuss extensively the new regulatory environment by placing emphasis on the regulatory monitoring process and especially on the regulatory indices (Capital Ratio, Liquidity Coverage Ratio, Net Stable Funding Ratio) targeted.

 

Finally, we will work on the important issue of bank defaults, starting with the methods used to predict them and in particular discuss the mechanisms in place designed to deal with the occurrence of default (Resolution).

 

Lectures sequence

Topics 1-2: Credit Market Outcomes, Anatomy of a bank’s balance sheet and the resulting intermediation/financial risks.

 

Topics 3-5: Intermediation/financial risks (Interest Rate Risk, Credit Risk, Market

Risk, Liquidity Risk) and their measurement (Duration Gap, Value-at-Risk, Migration

Approach, Distance-to-Default).

 

Topic 6: Principles of Banking Regulation; from Basel II to Basel III (Definition of

Regulatory Indices).

 

Topics 7-8: Prediction of bank defaults, CAMEL factors, the Receivership and

Auction processes, Resolution cost, Bank Insurance Fund.

Ημερομηνία δημιουργίας

Πέμπτη, 7 Απριλίου 2016