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.

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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.

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Course Instructors: Christos Gortsos (National and Kapodistrian University of Athens and EUI – Fernand Braudel Senior Fellow), Seraina Grünewald (University of Zurich), Kristian Kjeldsen (Single Resolution Board)
Area: Bank Regulation, Supervision and Resolution
Level: Introductory/Intermediate

This course will focus on the following topics:

• Banking resolution as an element of the ‘bank safety net’
• Recovery planning – resolution planning
• Minimum requirement of eligible liabilities (MREL) – differences with the total loss absorbing capacity (TLAC)
• Early intervention
• The international regulatory framework: Key attributes of effective resolution (Financial Stability Board)
• The EU regulatory framework: BRRD and Single Resolution Mechanism Regulation (SRMR)
• The Single Resolution Board: institutional aspects
• Resolution tools (including bail-in)
• Conditions for resolution (including the ‘failing or likely to fail’ criterion)
• Precautionary recapitalization
• State aid and Single Resolution Fund (SRF) aid
• Government financial stabilization tools (GFST)
• Equivalence of third country resolution frameworks

This course is targeted at EU Officials (ECB, SSM, SRB, ESRB, EBA, ESM), economists and risk managers in financial institutions and private banks, lawyers and accountants, Ph.D. students, post-graduate researchers, and assistant professors.

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Course Instructor: Nobuhiro Kiyotaki (Princeton University)
Area: Financial Stability and Macroprudential policy
Level: Advanced

This course will focus on the following topics:

• Rationale for macroprudential policy;
• DSGE models with a financial sector;
• Interactions between the real and the financial sectors;
• Financial accelerator, booms and busts.

This course is targeted at EBA, SSM, SRB, ESRB, EU officials, financial stability and research department of Central Banks, Ph.D. students, private sector economists.

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Course Instructors: Slavka Eley, Oleg Shmeljov (European Banking Authority)
Area: Bank Regulation, Supervision and Resolution
Level: Intermediate

This course will focus on the following topics:

• Business model Analysis;
• Internal governance;
• Assessing risks to capital;
• Liquidity and funding;
• SREP capital adequacy assessment;
• SREP liquidity adequacy assessment;
• Supervisory and early intervention measures

This course is targeted at SSM, SRB, ESRB, EU officials, economists and risk managers in financial institutions and private banks, lawyers and accountants, Ph.D. students, post-graduate researchers, assistant professors.

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Course Instructor: Moritz Schularick (University of Bonn)
Area: Financial Stability and Macroprudential policy
Level: Intermediate

This course will focus on the following topics:

• Financial cycles and the economy;
• Interest rates and returns on capital;
• Financial crisis prediction: tools and accuracy;
• Bank capital and financial stability;
• Debt overhang and recovery from crises;
• Managing credit booms: macroprudential vs. monetary policy

This course is targeted at EBA, SSM, SRB, ESRB, EU officials, financial stability and research department of Central Banks, Ph.D. students, post-doc researchers; assistant professors; private sector economists.

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Course Instructor: Lee C. Buchheit (Cleary Gottlieb Steen & Hamilton LLP); Mitu Gulati (Duke University); Jeromin Zettelmeyer (Peterson Institute of International Economics)
Area: Risk Management
Level: Intermediate

This course will focus on the following topics:

• Sovereign default and restructuring risk;
• How do sovereign borrowers get into trouble?
• The warning signs of sovereign distress.
• Initial maneuvers to escape and evade the crisis.
• The options when the initial maneuvers don’t work — bailout or restructure
• The evolution of sovereign debt restructuring techniques — 1982 to 2017
• The role of the official sector
• Contractual provisions that facilitate, or that retard, sovereign debt workouts
• Sovereign debt restructuring after Greece and Argentina

This course is targeted at EBA, SSM, SRB, ESRB, EU officials, financial stability and legal department experts in Central Banks, Ph.D. students, private sector members, law firms and practitioners.

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Course Instructors: Emiliano Sabatini, Antonio Schifino (Bank of Italy)
Area: Bank Regulation, Supervision and Resolution
Level: Introductory/Intermediate

This course will focus on the following topics:

• An overview of the solvency ratio: regulatory capital and Pillar I risks.
• The main answers of micro-prudential regulators to the crisis.
• The backstop measures.
• Pillar II and its role under the Single Supervisory Mechanism.
• An overview of the main IFRS accounting standards on financial instruments and their implications from a regulatory perspective.
• The main differences between the accounting and the regulatory frameworks with reference to consolidation.

This course is targeted at EBA, SSM, SRB, ESRB, EU officials, lawyers, political scientists, Ph.D. students, accountants, private sector economists.

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Course Instructors: Christian Brownlees (Universitat Pompeu Fabra), Fabio Canova (FBF and BI Norwegian Business School)
Area: Statistical and Econometric Methods
Level: Intermediate/Advanced

This course will focus on the following topics:

• Estimation and forecasting.
• Models of time varying correlations: estimation and forecasting.
• VaR and Systemic risk: measures and forecasting techniques.

This course is targeted at Financial Stability and Research departments in central banks, Ph.D. and Post-doctoral researchers, Assistant Professors, Research department officers of private banks, EU institutions.

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Course Instructor: Jean Dermine (Insead)
Area: Risk Management
Level: Intermediate

This course will focus on the following topics:

• Probability of Default (PD) calibration and validation
• Loss Given Default (LGD) – What do we know about LGDs?
• Discount rate in LGDs.
• Regulatory updates regarding LGDs.
• Value-at-Risk.

This course is targeted at Financial stability and research department of Central Banks, Ph. D. students, private sector economists, EU officials.

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