RPRD 804: Advanced Topics in Risk Management and Regulation

The idea of this course is to cover important topics in more detail. The aim will be to bring in experts to cover key topics after introductory lectures by resident faculty. Given the background provided by the other courses, the experts can assume that the class is well-prepared and participate in a seminar-workshop environment. On some topics, we will be seeking names of experts from GRI. On others, we will be using our extensive network of connections with current and former officials of OSFI, the Bank of Canada, the Department of Finance and CDIC, as well as risk managers in the large Canadian banks.

Past Topics:

  • What tools and knowledge will tomorrow’s risk managers need?
  • Credit risk management
  • Traded market and credit risk
  • Model risk: limitations and failures
  • Systemic risk and central counterparties
  • Risk appetite: linking strategy and execution
  • Sovereign risk and medium-term fiscal policy
  • Supervision of financial institutions and lessons from the global financial crisis
  • Key issues in bank regulation, including bank capital regulation
  • Capital regulation: stress testing
  • How the Basel Committee operates and the use of risk models: regulation and supervision Bank resolution policy
  • Bank resolution policy

RPRD 804 course description

Week 1 Sep 12-16

http://www.osfi-bsif.gc.ca/Eng/osfi-bsif/med/sp-ds/Pages/jh20160505.aspx

http://www.osfi-bsif.gc.ca/Eng/fi-if/rg-ro/gdn-ort/gl-ld/Pages/e18.aspx

https://www.eba.europa.eu/documents/10180/1259315/DRAFT+2016+EU-wide+ST+methodological+note.pdf

Week 2 Sep 19-23

BASEL COMMITTEE ON BANK SUPERVISION (September 2012): Core Principals for Effective Banking Supervision; (pp 1-20, Principals 1, 2, 3, 8, 9, 10, and 11)

http://www.bis.org/publ/bcbs230.pdf

FINANCIAL STABILITY BOARD (November 2010):  Intensity and Effectiveness of SIFI Supervision; (pp 1-23)

http://www.fsb.org/wp-content/uploads/r_101101.pdf?page_moved=1

SENIOR SUPERVISORS GROUP (October 2009): Risk Management Lessons from the Global Banking Crisis of 2008

http://www.financialstabilityboard.org/publications/r_0910.htm

Week 3 Sep 26-30

Week 4 Oct 3-7

Week 5 Oct 10-14

Corporate Governance 050913

Fed Corporate Governance of Banks

Week 6 Oct 17-21

Week 7 Oct 23-28

BCBS report to G20 giving a good summary of what the Committee has been up to since the crisis and why and what left to be done to complete the post crisis reform agenda

http://www.bis.org/bcbs/publ/d344.pdf

Latest consult documents related to floors and standardized frameworks for credit and op risk which will be used for setting floors

http://www.bis.org/bcbs/publ/d362.pdf  (model constraints)

http://www.bis.org/bcbs/publ/d355.pdf (op risk standardized framework)

http://www.bis.org/bcbs/publ/d347.pdf (credit standardized framework)

Week 8 Oct 31-Nov 4

Week 9 Nov 7-11

Bail-in paper

FSB Report

Resolution Planning in the US

Week 10 Nov 14-18

Week 11 Nov 21-25

Financial System Review, June 2016

http://www.bankofcanada.ca/wp-content/uploads/2016/06/fsr-june2016.pdf

Assessing Vulnerabilities in the Canadian Financial System Ian Christensen, Gitanjali Kumar, Césaire Meh and Lorie Zorn http://www.bankofcanada.ca/wp-content/uploads/2015/06/fsr-june15-christensen.pdf

Department of Finance:

Backgrounder: Ensuring a Stable Housing Market for All Canadians http://www.fin.gc.ca/n16/data/16-117_1-eng.asp

Technical Backgrounder: Mortgage Insurance Rules and Income Tax Proposals (Revised October 14, 2016) http://www.fin.gc.ca/n16/data/16-117_2-eng.asp

Week 12 Nov 28-Dec 2

Bio_Brad Fischer

Brad_Ottawa stress testing_Oct 6 2016

HFS – Brad Fischer – CMHC Stress Testing Earthquake Risk_Oct 4 2016

OSFI_E18_Stress Testing

OSFI_E19_ORSA