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Бакалавриат 2021/2022

Банковский менеджмент и анализ рисков

Направление: 38.03.01. Экономика
Когда читается: 3-й курс, 1-4 модуль
Формат изучения: с онлайн-курсом
Охват аудитории: для своего кампуса
Язык: английский
Кредиты: 8

Course Syllabus


The Financial Intermediation is a two-semester course for ICEF students. This is an intermediate banking course for the BAc Finance and Economics programme students. The course is also included in the University of London International Programme. The course is taught in English and is mandatory. Pre-requisites: - Introductory Banking - Intermediate Microeconomics - Quantitative Methods The course aims to provide insights into financial economics, economics of banking, its role in the economy, and practical risk management issues. This course introduces the main models and surveys the basic literature on financial economics and financial intermediation. Utilising the tools of general microeconomic theory for problems of financial theory demonstrates the convergence of the two disciplines. The course underlines the distinctions between models based on symmetric information and competitive market and models that use the assumption of asymmetric information and contractual relationships. Under symmetric information assumption there is no need for financial intermediation and banks are unable to earn non-zero profit. Prices are determined by the competitive market and each agent decide on assets allocation to maximize expected utility. In this framework the models of asset pricing are considered. If information is asymmetric the market allocation is no longer optimal. Financial intermediaries that enable loan and deposit contracts can provide better opportunities in that case. The role of banks in the economy is described and emphasised with the services provided by banks to investors and firms, namely liquidity insurance and delegated monitoring. The unit structure includes themes about most important issues on bank management, bank regulation, and development of financial markets. The course combine topics of three different subjects: Financial Economics, Theory of Financial Intermediation, and Bank Management.
Learning Objectives

Learning Objectives

  • The main objective the course is to introduce modern methods of risk management in banking, to form a knowledge base for professional activities, and successful studying of financial courses in master degree programmes.
  • As a result of studying this discipline a student should know: 1) The methodology for assessing banking risk 2) models of credit and liquidity risks; 3) the principles of banking risk management; 4) The principles of using derivatives to hedge interest rate, currency and credit risks; 5) The differences between the types of securitized assets; 6) The principles of banking regulation and management of the banking capital.
  • Students should acquire basic skills and knowledge of financial institutions management. They should be able to apply them in practice, and understand the basics of financial economics.
Expected Learning Outcomes

Expected Learning Outcomes

  • – be able to use consents of risk measurement and risk management in banking
  • – to analyse the structure of bank-wide risk management system
  • – to apply no arbitrage condition to price forwards, options, and swaps
  • – to use money-market hedge
  • – to analyse the economics of financial intermediation and its practical outcomes
  • – be able to analyse the main types of risks in banking
  • – to link the risk type to an appropriate risk measure
  • – be able to apply different models to estimate the level of credit risk
  • – to manage credit risk with credit derivatives
  • – to estimate interest rate risk and liquidity risk
  • – to use interest rate derivatives to manage interest rate risk
  • – to analyse different sources of liquidity risk
  • – to use Value-at-risk models for market risk analysis
  • – to use different hedging techniques with to manage interest rate risk and exchange rate risk
  • – to analyse the elements of a bank total profit and its risks
  • – to use peer group for bank analysis
  • – to apply risk-adjusted measures for estimating bank performance
  • – to analyse current and ongoing international bank regulations
  • – to calculate capital requirements for credit, market, and operational risks
  • – to analyse different types of securitisation and its role in the recent financial crisis
Course Contents

Course Contents

    1.1 The concepts of risk assessment and management. 1.2 Infrastructure of risk management. 1.3 Business structure and risks
    2.1 Option Pricing 2.2 Forward Contract Pricing 2.3 Interest Rate and Currency swaps
    3.1 Introduction 3.2 Liquidity Provision 3.3 Asymmetric Information and delegated monitoring 3.4 New approaches to the theory of intermediation
    4.1 Classification of banking risks 4.2 Introduction to risk management and measurement techniques
    5.1Default risk and credit rationing 5.2Estimating default probability 5.3Loss Given Default and Expected Loss 5.4Credit portfolio management 5.5Credit derivatives 5.6Bank And Agency Rating systems
    6.1 The term Structure of Interest rates 6.2 Duration and convexity 6.3 Sources of interest rate risk, interest rate gap analyses 6.4 Liquidity risk
    7.1 Risk Measurement and Value-at-risk models 7.2 Currency Hedging 7.3 Interest Rate Hedging 7.4 Delta Hedging and Options
    8.1 Introduction to bank data 8.2 Accounting versus market value measures 8.3 Risk-adjusted performance and RAROC model 8.4 Economic Value Added (EVA)
    9.1 Capital Regulation 9.2 Capital requirements and securitisation
Assessment Elements

Assessment Elements

  • non-blocking midterm test (second semester)
  • non-blocking home assignments and seminar activity
  • non-blocking midterm test (first semester)
  • blocking UoL exam (or HSE internal exam)
  • non-blocking written exam
    Online format
Interim Assessment

Interim Assessment

  • Interim assessment (2 module)
    0.2 * home assignments and seminar activity + 0.25 * midterm test (first semester) + 0.55 * written exam
  • Interim assessment (4 module)
    0.15 * home assignments and seminar activity + 0.05 * midterm test (first semester) + 0.2 * midterm test (second semester) + 0.4 * UoL exam (or HSE internal exam) + 0.2 * written exam


Recommended Core Bibliography

  • Bessis, J. (2015). Risk Management in Banking (Vol. Fourth edition). New York: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=987909

Recommended Additional Bibliography

  • Freixas, X., & Rochet, J.-C. (2008). Microeconomics of Banking (Vol. 2nd ed). Cambridge, Mass: The MIT Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=216851