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Бакалавриат 2022/2023

Банковский менеджмент и анализ рисков

Направление: 38.03.01. Экономика
Когда читается: 3-й курс, 1-4 модуль
Формат изучения: с онлайн-курсом
Онлайн-часы: 36
Охват аудитории: для своего кампуса
Язык: английский
Кредиты: 8
Контактные часы: 120

Course Syllabus

Abstract

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

Course Contents

  • FUNDAMENTALS OF RISK MANAGEMENT
  • DERIVATIVS PRICING
  • BANKING AND FINANCIAL INTERMEDIATION
  • RISKS IN BANKING
  • LENDING AND CREDIT RISK
  • ASSET-LIABILITY MANAGEMENT, LIQUIDITY RISK AND INTEREST RATE RISK
  • USING DERIVATIVES FOR RISK MANAGEMENT
  • ANALYSIS OF BANK PERFORMANCE
  • CAPITAL REGULATION
Assessment Elements

Assessment Elements

  • non-blocking Final exam
  • non-blocking First semester test
  • non-blocking home assignments and seminar activity
  • non-blocking Written exam in December
  • non-blocking Second semester test
Interim Assessment

Interim Assessment

  • 2022/2023 2nd module
    0.25 * First semester test + 0.55 * Written exam in December + 0.2 * home assignments and seminar activity
  • 2022/2023 4th module
    Year grade: home assignments and seminar activity – 15% first semester test – 5% first semester exam – 20% second semester test – 20% final exam – 40%
Bibliography

Bibliography

Recommended Core Bibliography

  • Bank management, Koch, T. W., 2000
  • 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
  • Credit risk measurement : new approaches to value at risk and other paradigms, Saunders, A., 1999
  • Financial institutions management: a risk management approach, Saunders, A., 2018
  • Financial Theory and Corporate Policy, 3rd ed., 946 p., Copeland, T. E., Weston, J. F., 1992
  • Managing bank risk : an introduction to Broad-Base Credit Engineering, Glantz, M., 2003
  • Microeconomic Analysis, 3rd ed., A42, 506 p., Varian, H. R., 1992
  • Microeconomics of banking, Freixas, X., 1999
  • Risk management in banking, Bessis, J., 2015

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