Calendar
Course Instructor: Gianni De Nicolò (International Monetary Fund and FBF)
Area: Risk Management
Level: Intermediate
Deadline for registrations: 7 March 2017
This course will focus on the following topics:
- Value at Risk (VAR) and market based measures of systemic risk
- Measures of systemic importance (COVAR, Network analysis)
- Identification of Systemically Important Financial Institutions (SIFIs)
- Contagion and network externalities
This course is targeted at financial stability and research department of Central Banks, Ph.D. students, private sector economists, EU officials. Participants are expected to hold a BA (or equivalent) in Economics and to have a basic understanding of statistics and econometrics.
Course Instructor: Steven Ongena (University of Zurich)
Area: Financial Stability and Regulation
Level: Intermediate/Advanced
Deadline for registrations: 29 March 2017
This course will focus on the following topics:
- Current research methodologies used in empirical banking, with a special emphasis on inter-temporal and cross-sectional methods (e.g. matching)
- Techniques: Heteroskedastic Modelling, Duration Analysis and Applications, Matching, Difference-in-Difference, Event Studies and Applications, Elements of an Identification Strategy
This course is targeted at Financial stability and research department of Central Banks, Ph.D. students in Economics, Banking or Econometrics, and economists in the private sector. Participants are expected to have a degree in Economics and to be proficient in mathematics, statistics and modelling (an intermediate level in micro and macroeconomics, as well as in applied econometrics, is required to follow this course).
The EUI-Nomics workshops provide a forum for discussion among academics and economists in public and private institutions about the current and expected future global economic conditions, with a special focus on the euro area and its member countries. For each country/area there will be short presentations by leading experts followed by general discussion. The workshops will be completed by a policy panel debating on key economic policy issues for the euro area.
The workshop is organised by Massimiliano Marcellino, Bocconi University and EUI.
The 2017 event will feature roundtables discussing the following topics:
- France, Germany, Spain
- The Italian Economic Perspectives
- Global Conditions
- Euro Area Macroeconomic Outlook: Alternative Views?
- EU and the UK after Brexit
Course Instructors: Fabio Canova (BI), Wouter den Haan (LSE), Junior Maih (Norges Bank)
Area: Statistical and Econometric Methods
Level: Intermediate/Advanced
Deadline for registrations: 17 May 2017
This course will focus on the following topics:
- Piecewise linear solution. Maximum Likelyhood and Bayesian estimation
- Solution and simulation of regime-switching DSGE models; exogenous and endogenous switching; occasionally-binding constraints
- Numerical integration: splines, fixed point and time iteration
- Projection techniques for models with occasionally binding constraints
This course is targeted at financial stability officers, research department officers, Ph.D. students, and research department officers of private banks. Participants are expected to have a degree in Economics and to be proficient in mathematics, statistics and modelling.
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This half-day workshop, held in the context of the International risk Management Conference co-organized by the New York University Stern Salomon Center for the Study of Financial Institutions and the University of Florence, will explore the increasingly intertwined nature of risk management processes and regulation. The focus will be put on the practitioners perspective.
The workshop will thus come to grips with the interplay of regulation and risk management in a period where risk assessment methodologies are becoming increasingly complex and the regulatory and supervisory framework of the financial sector is getting more intrusive (e.g. increasing monitoring of business models of FIs; additional capital buffers: new powers for resolution authorities on early intervention and resolution planning).
Some of the key questions which the workshop is likely to address are the following:
- Should financial stability be achieved through activist supervision or should legislators and regulators rely on the production of limited yet credible rules?
- Do regulators have the administrative and resource capacity to actively supervise financial institutions’ conduct, including internal risk management processes and business models?
- Knowing the excessive risk-taking that characterised the financial industry in the past and the un-encouraging effectiveness of self-regulation, does the alternative, light-weighted regulatory approach still has a future?
- Last, but not least, how can risk managers deal with regulatory risk in the financial sector?
The workshop will bring together both bank and non-bank actors to illustrate, analyse and engage with those challenges.
Course Instructors: Gianni De Nicolò (FBF and IMF), Fabio Canova (FBF and BI Norwegian Business School), Manfred Kremer (ECB)
Area: Financial Stability and Regulation
Level: Intermediate/Advanced
This course will focus on the following topics:
- Introduction to tail risk measures; VaR and CoVaR
- Expected Systemic shortfall (SES) and other risk measures
- Logit and Receiving operation characteristic (ROC) models
- Networks, connectedness, and risk interdependences
This course is targeted at Financial stability and research department of Central Banks, Ph.D. students, Research department of private banks, and EU officials. Participants are expected to have a degree in Economics and to be proficient in mathematics, statistics and macro-modelling.
Course Instructor: Jean Charles Rochet (University of Zurich)
Area: Financial Stability and Regulation
Level: Intermediate/Advanced
This course will focus on the following topics:
- The objectives of prudential regulations
- Capital regulation for banks: static and dynamic models
- Bank runs and the Lender of Last Resort
- Systemic risk and contagion
- Bank resolution and Total Loss Absorbing Capacity
This course is targeted at Financial stability and research department of Central Banks, Ph.D. students, Research departments of private banks, and EU officials. Participants are expected to be familiar with basic banking and finance models and to have some understanding of dynamic optimization and of basic simulation techniques.
Course Instructors: Enrico Perotti, Bart Joosen and Roger Laeven (University of Amsterdam); Iman van Lelyveld (Free University of Amsterdam and DNB)
Area: Financial Stability and Regulation
Level: Intermediate
This course will focus on the following topics:
- Financial and prudential aspects, with some attention to its legal underpinnings.
- Shadow banking understood as a financial segment that expands and contracts credit outside the regulatory perimeter.
- Key elements of shadow banking regulation as well as emerging issues related to their relevance for macro-prudential policy.
- European (as well as some US) legislation on insurance companies, money mutual funds and central clearing platforms for derivatives.
- Review of typical shadow banking funding and lending strategies such as secured credit and security lending.
This course is targeted at Financial Stability officers, Research department officers, Ph.D. and Post-doctoral researchers, Assistant Professors, Research department of private banks, EBA, SSM, SRB, ESRB, EU officials. Participants are expected to have a degree in Social Sciences and to have a general command of EU financial regulation.
Joint Autumn School of the Florence School of Banking & Finance and the School of Transnational Governance
Course Director: Bart Joosen (VU University, Amsterdam)
Instructors: Boudewijn Berger (ABN AMRO); Stefano Cappiello (SRB); Bart Joosen (VU University, Amsterdam); Andrea Resti (Bocconi University); Emiliano Tornese (DG Fisma, EC); Tobias Tröger (Goethe University, Frankfurt)
Area: Bank Regulation, Supervision and Resolution
Level: Introductory/Intermediate
The joint FBF-STG Autumn School seeks to intensify and strengthen knowledge on the part of public authorities, practitioners and academics as well as foster an in-depth dialogue on the merits and challenges in the implementation of the new EU resolution framework.
The learning objectives of this course are to:
- Acquire the essentials of the new EU banking resolution regime – its rules and principles, actors and procedures
- Understand and apply the key concepts of bank resolution (e.g. Resolution Tools, Resolution Objectives, Bail-In, No CreditorWorse Off in Liquidation, Minimum Requirements for Own Funds and
- Eligible Liabilities, Total Loss Absorption Capacity)
- Learn how to assess recovery plans in practice
- Learn how to design and implement resolution plans in practice
This course is targeted at policy-makers and experts from European institutions and agencies (European Commission, European Central Bank/Single Supervisory Mechanism, European Systemic Risk Board, Single Resolution Board, European Banking Authority, European Stability Mechanism); policy-makers and experts from National Finance Ministries, National Central Banks, National Resolution Authorities and officials from Foreign Affairs Ministries; private lawyers and private banking practitioners; Ph.D. researchers and post-doc researchers.
Course Instructor: Gianni De Nicolò (FBF and International Monetary Fund)
Area: Financial Stability and Macroprudential policy
Level: Introductory/Intermediate
This course will focus on the following topics:
- Key measures of bank risk
- Individual and aggregate financial soundness indicators of banking system market, credit, and liquidity risks;
- Design and interpretation of stress tests and their role in managing and mitigating risk exposures;
- The bank regulatory framework with respect to capital and liquidity;
- Public intervention and role of central banks
This course is targeted at EBA, SSM, SRB, ESRB, EU officials, financial stability and research department of Central Banks, Ph.D. students, accountants, private sector economists, law firms and practitioners.