Банковское дело и основы финансов
Статус: Курс по выбору (Программа двух дипломов по экономике НИУ ВШЭ и Лондонского университета)
Направление: 38.03.01. Экономика
Кто читает: Международный институт экономики и финансов
Где читается: Международный институт экономики и финансов
Когда читается: 2-й курс, 1-4 модуль
Формат изучения: Full time
Преподаватели: Фардо Винсент Марк
“Principles of Banking and Finance” is an introductory two-semester course for second-year undergraduate students. The course is taught in English. It is part of the University of London curriculum. The approach of the course is analytical and emphasizes the link between microeconomics and banking and finance. The first part of the course is devoted to principles of finance. It covers the essentials of capital budgeting and securities valuation, as well as basic asset pricing theories and the efficient market hypothesis. The second part deals with principles of banking. It compares different banking systems and discusses the standard tools of risk management for financial institutions, the regulation of the banking system, and the role and rationale of financial intermediation in the economy. Course prerequisites Basic knowledge of micro/ macroeconomics and calculus/statistics, as taught in the first year at ICEF, is required. The course itself provides a basis (and thus serves as a prerequisite) for more advanced courses of in banking and finance such as Asset Pricing and Financial Markets, Corporate Finance, Investment Management, etc.
- -analyze the key concepts of modern theory of finance
- - discuss the main theoretical and empirical drivers of financial and real asset valuation
- - estimate the consequences of asymmetric information and transaction costs on banking
- - highlight the main differences between financial systems, explain the role and origins of financial intermediaries, the methods used by banks to manage various types of risk, and the rationale for bank regulation
- - discuss the main factors and developments of the 2007-2009 financial crisis
- - Be able to discuss functions of financial systems & types of financial systems with real - life examples.
- - Learn different types of financial markets & financial instruments (stocks vs. bonds);
- Be able to understand financial literature on the basis of theoretical notions shown above.
- - Be able to proceed with different project valuation techniques (NPV<, IRR< SPB, DPB) and understand key differences.
- - Be able to perform valuation of bonds;
- - Understand the concept of yield curve, spot & forward rates;
- - Understand the concept of YTM
- - Be able to understand the concept of mean - variance frontier, investors' choice with & without risk - free asset;
- - Apply the two - fund separation theorem as a prerequisite for asset pricing theories.
- - Be able to demonstrate the understanding of key differences between the CAPM & APT models;
- - Be able to apply the models to piricng financial instruments.
- - Be able to apply stock pricing formula for the resulting price calcualtion.
- - Be able to use the concept of efficient markets including different forms of market efficiency and explanatory theories.
- - Analize the current state of financial structure, including crisis events.
- -Distinguish different types of financial intermediaries;
- - Be able to demonstrate understanding of differences in functions, investment strategies
- - Estimate the risks assosiated with the banking business;
- - Be able to demonstrate the understanding of models used by banks to mitigate those tisks.
- -Be able to distinguish pecularities of Basel I, Basel II and Basel III
- - Distinguish between bank - and market - based financial systems, including historical background.
- IntroductionCourse overview. Overview of the financial system
- Financial Markets and InstrumentsFunctions of the financial system. Types of financial intermediaries. Financial instruments (debt, equity, derivatives). Market structures (OTC vs centralized exchanges, primary vs secondary markets, etc.). Money and Capital Markets
- Capital Budgeting and ValuationFisher separation theorem. Methods of project's valuation. Cash Flows. Concepts of present value and opportunity cost of capital. NPV, IRR, Payback period.
- Fixed IncomeCoupon and Discount Bonds. Annuities and Perpetuities. Valuation by absence of arbitrage. Yield Curve. Term Structure Theories. Corporate bonds.
- Risk and returnMathematical characteristics of risk and return. Risk premia. Risk-return trade-off. The risk and return of the portfolio. Correlation of returns. Benefits of diversification. Systematic and nonsystematic risks. Mean-variance portfolio theory: Efficient Frontier, Capital Market Line, Tangent portfolio, Two-fund separation theorem.
- Asset pricing theoriesCAPM and securities market line. Single- and multi-factor models. Factor-replicating portfolios. Arbitrage Pricing Theory (APT). Theoretical and empirical validation of CAPM and APT.
- Stock ValuationValuation of Stocks: Fair Price. DCF Models. Gordon Growth Model.
- Effective marketsWeak, semi-strong, strong efficiency. Empirical tests of the weak-form: technical analysis, momentum and reversal, Seasonal effects. Empirical tests of the semi-strong form: performance of professional investors, event studies. Tests of the strong-form: Insider trading. Rational (frictionbased) vs behavioral explanations of anomalies.
- Economic analysis of financial structureWhy do financial intermediaries exist? Transaction costs. Asymmetric information: adverse selection and moral hazard, principal-agent problem. Maturity, size and risk transformation. Economy of scale and economy of scope. The ways to minimize principal-agent costs: collateral, guarantees, capital requirements, self-regulation, credit bureaus.
- Financial intermediationDirect and indirect finance. Banks. S&L institutions. Co-operative banks. Mutual funds. Pension funds. Insurance companies. Term structure of liabilities. The problem of excess regulation. Disintermediation.
- Bank management: retail, wholesale, investment banksRetail banking: current account and time deposits, micro-financing, consumer loans, mortgages, asset-backed securities, payment and credit cards. Wholesale banking: large-scale loans, trade financing, loan commitments, commercial and standby letters of credit, asset management, syndicated loans, arrangement and underwriting of corporate bonds. Investment banks: structure of transactions, risk sharing, syndicated loans, arrangement and underwriting of bonds.
- Risk management and internal control in banksAsset-side and liability-side liquidity risks. Liquidity gaps. Liquidity management and the role of reserves. Asset-liability management. Purchase of funds. Treasury. Interest rate margin. Interest rate risk. Fixed- and floating-rate assets and liabilities. Interest rate gaps. Credit risk. Types of credit risk (industrial, regional and country risks). Diversication of loan portfolio. Currency risk. Long and short open positions. Capital adequacy. Economic capital.
- Banking regulationBanking supervision and inspection (on-sight and off-sight regulation). Capital adequacy ratio. The Basel accords on risk-based capital requirement (Basel I and Basel II). Liquidity ratios. Open currency positions. CAMEL. Disclosure requirements. Free banking. Government safety nets. Deposit insurance. Banking crises.
- Financial Systems ComparedBank-based and market-based systems. Islamic banking. Emerging markets. Financial crises: banking, currency and debt crises. The peculiarities of the Russian banking systems.
- home assignments
- October mid-term test
- December exam
- final exam (UoL or HSE)
- March midterm
- Промежуточная аттестация (2 модуль)0.25 * October mid-term test + 0.1 * class-work + 0.5 * December exam + 0.15 * home assignments
- Промежуточная аттестация (4 модуль)0.08 * October mid-term test + 0.1 * class-work + 0.12 * December exam + 0.5 * final exam (UoL or HSE) + 0.1 * home assignments + 0.1 * March midterm
- Berk, J. B., & DeMarzo, P. M. (2014). Corporate Finance: The Core, Global Edition (Vol. Third edition). Boston: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1417990
- Mishkin, F. S., & Eakins, S. (2016). Financial Markets and Institutions, Global Edition (Vol. Eighth edition, Global edition). Harlow: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1419018
- Allen, F. V. (DE-588)136922465, (DE-627)588339121, (DE-576)167952374, aut. (2001). Comparing financial systems Franklin Allen and Douglas Gale. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edswao&AN=edswao.109602129
- Copeland, T. E., Weston, J. F., & Shastri, K. (2014). Financial Theory and Corporate Policy: Pearson New International Edition (Vol. 4th ed). Harlow, Essex: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1418250
- Fabozzi, F. J., & Markowitz, H. (2011). The Theory and Practice of Investment Management : Asset Allocation, Valuation, Portfolio Construction, and Strategies (Vol. 2nd ed). Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=364873
- Principles of corporate finance, Brealey R. A., Myers S. C., 2008