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Securitisation: Regulation and Practice

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  • General description

    Reviled by many for their complexity, securitizations have been squarely blamed by some for the financial crisis while others have seen them as no more than a technology for (a) parceling up risk in pools of exposures and (b) creating liquidity for non-marketed instruments.

    This course will provide a balanced presentation to the securitization market with an emphasis on their risk characteristics and how that is reflected in regulatory frameworks. Disagreements about the role of securitizations in the crisis meant that the development of post crisis regulations for this asset class was long and tortuous. The course will explain how official attitudes to the market evolved and what are the implications of the Basel 3 framework for securitization that has emerged.

    The course will analyze the broad economic and financial pressures that drive the market. We will examine the role of the ratings agencies in the market and what motivates buy and sell side market participants in using securitization techniques and how this is likely to evolve in the future.

    The course will be delivered via a mixture of lectures and practical exercises designed to reinforce participants’ intuitive understanding of securitization exposure characteristics. The practical exercises will make use of simple software tools.

    The content of the course will reflect the lecturer’s interests and experience. In the early 2000s, the lecturer worked as a central bank official on the development of Basel II rules for securitization capital. Since the crisis, he has been heavily involved, as an independent expert, in the extensive discussions that have taken place between the industry, regulators and central bankers on how the market should develop and be regulated.

  • Topics covered

    • Securitisation as a financial technology for distributing risk
    • Risk analysis of loan pools
    • Risk and capital for securitisations
    • Capital regulation of securitisations
    • Liquidity regulation and securitisations
    • Pricing securitisations
    • Drivers of securitization activity past and present
    • Financial stability implications of securitisation

  • What you will learn

    • You will learn techniques for analysing securitisations
    • You will learn how to determine capital for securitization exposures
    • You will learn how to price securisation exposures
    • You will understand how securitisations contributed to the financial crisis
    • You will learn how regulatory capital for securitisations is determined and why
    • You will learn how securitisations are analysed by ratings agencies
    • You will learn how this market is likely to develop in the future

  • How the course will work

    Total course length: 12 hours.

    The course will consist of 9 hours of lectures and two 1 1/2-hour practical sessions involving:

    1. Evaluating regulatory capital for example securitizations
    2. Analyzing a synthetic risk transfer securitization

    A certificate of attendance will be provided to all participants after the course.

  • Meet the instructor

    William Perraudin is Director of Risk Control Limited, a specialist risk management consultancy and software firm. He is Adjunct Professor of Imperial College Business School where he was, in the past, Head of the Finance Group and Director of the Risk Management Laboratory. He holds degrees from Oxford, LSE and Harvard. As well as Imperial College, William has taught in the University of Cambridge and in Birkbeck College. He also worked at the International Monetary Fund and as a City stockbroker. He was a Special Advisor to the Bank of England and as such was involved in the calibration of the Basel II capital charges for international banks. William’s research interests are in pricing credit exposures, the analysis of real options, risk management and banking regulation. He has consulted for a wide range of financial firms and public institutions.

  • Prerequisites

    A BA or MSc in a quantitative discipline such as economics is required to follow the course. Knowledge of basic finance and ability to use Excel are recommended.

    Technical Prerequisites

    Participant are required to bring their own laptops with Microsoft Excel installed.

  • Fees

    1750€ – Public Authorities (e.g. National Competent Authorities, Central Banks) and European Institutions

    1900€ – Private Sector

    1000€ – Academics (Assistant, Associate or Full Professors)

    850€ – Students (with certificate of studies)

    The course fee covers coffee and lunch breaks. Travel and hotel costs are not included.


    • In case of registration of 3 participants from the same organisation, the course fee is waived for one of them.
      To benefit from the deal, the names of the 3 participants have to be communicated to fbf@eui.eu before registering. We cannot communicate the names of other registered people from the same institution (it is upon your responsibility to get in touch with your HR division). A single debit note will be issued for the 3 participants followed by one payment.
    • Special deals apply for larger groups.


    • In case a course is cancelled, registered participants will receive the full refund.
    • In case a course is moved to another date, registered participants may request a voucher to attend another FBF course.
    • Registered participants who have not yet paid the registration fee can cancel their participation until one month before the start of the course.
    • The registration fee is non-refundable, however it will be possible to transfer registration to another person or request a voucher for another FBF course up to 20 days before the start date of the course.

    For more details, please contact fbf@eui.eu
  • Practical information

    Recommended hotels

    Suggested restaurants in Florence city centre


    On arrival, participants will be provided with temporary wi-fi access for the whole duration of the course.

    Privacy Notice

    The personal information you have provided will be processed in compliance with the EUI Privacy Statement for conferences. For general queries: fbf@eui.eu


    General information on local transport

    From Florence airport:

    Florence airport is located 8 km from the city centre, approximately 30 minutes by taxi or bus. Taxis can be found outside the arrivals terminal; no reservation is needed. A taxi ride from the airport costs about €20 and takes approximately 25/30 minutes.

    The airport is also connected to the main railway station in Florence by a shuttle bus (‘Vola in bus’) that leaves every 30 minutes (on the hour and on the half-hour) and takes 25 minutes. Tickets are available on board for €6.00.

    From the central railway station:

    Take bus n. 17 to via Venezia. Change to bus n. 7 direction ‘Fiesole’; get off at the stop ‘San Domenico 01’.  For bus routes and timetables consult:  http://goo.gl/Ydj8K

    Bus tickets are sold outside the railway station, at ATAF ticket kiosks and vending machines, tobacconists (tabacchi), newspaper kiosks (edicole), and most cafes (bar). They must be bought before boarding and stamped using the machine on the bus. A ticket costs €1.50 and it is valid for 90 minutes. Bus tickets can be purchased also on board (€ 2.50), but the driver is not obliged to give change.

    Private car

    From the A1 Milano-Napoli (Autostrada del Sole), take the Firenze Sud exit and follow directions to the city centre/Stadio. Follow the directions to the stadium (Stadio), then for Fiesole. San Domenico is on the main road to Fiesole.

    The EUI has several free parking areas available all over the Campus.

  • Course material

    Registered participants can access the course material using the password provided by the FBF secretariat.