Risk Regulation
This course surveys developments in the area of prudential risk regulation with particular emphasis on stress testing as the primary tool of regulation. The practical aspects of conducting CCAR/DFAST tests in the US are covered. The impact of the financial (subprime) crisis of 2007/8 on regulatory reform and the consequences for financial intermediaries are also reviewed.
CPE Credits: 7
This course is a component of the Risk Management Professional Certificate.
Prerequisite knowledge:
- Basic MS Excel skills
- Basic probability and statistics
- Basic knowledge of financial securities and markets
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Loans offered through Affirm are available in the U.S. and Canada.
Module 1: Risk Regulation
- Why regulation?
- Systemic Risk
- A brief history of regulation
- Impact of the subprime crisis on regulation
Module 2: The Bank Capital Debate
- What is capital?
- Regulatory capital
- Economic capital
- Risk capital: The Merton-Perold approach
- Bankers vs. academics: The role of incentives
Module 3: The Basel Capital Accords
- Basel I
- 1988 BIS Accord
- Cooke ratio
- 1996 Amendment
- Basel II and Solvency II
- Three pillars of Basel II
- Credit risk capital under Basel II
- Basel 2.5, Basel III and Dodd-Frank
Module 4: Overview of Regulatory Regimes
- US Federal and State regulators
- Financial regulation in the United Kingdom, European Union and Asia
- Regulation in emerging economies