• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Applied Banking

2020/2021
Academic Year
ENG
Instruction in English
3
ECTS credits
Course type:
Elective course
When:
1 year, 3 module

Course Syllabus

Abstract

The Applied Banking course covers some key themes in the commercial banking industry, including the impact of central banks and regulation. We will focus on value-creation, pricing and risk-management issues.
Learning Objectives

Learning Objectives

  • The goal is to provide a framework for students to understand the sources of the revenue and fragilities of commercial banks as a basis for decisions and future work in economic and financial turbulence.
Expected Learning Outcomes

Expected Learning Outcomes

  • Calculate the main financial indicators
  • Calculate the main measures of liquidity as for the bank and for the whole banking system
  • List and describe instruments of banks at capital markets (bonds, Eurobonds, trade finance, syndicated loans)
  • List main requirements of the regulator
  • List and calculate main measures of capital management
  • List Basel requirements and describe the reasons why they were introduced
  • List and calculate measures (regulatory and economic measures, gaps, behavioral adjustments, stress-tests)
  • List tools of Interest rate and FX risks management (limits, hedging, balance and market instruments)
  • List basic principles of product pricing: funding and risk components, capital charges
  • List basic principles of estimation banking products efficiency: scenario analysis, balance sheet dynamic modeling, cannibalization effect
  • List the main banking trends
Course Contents

Course Contents

  • Introduction to Banking
     Origins and history of first banks  The role of banks and regulation, expansion of credit  Balance sheet  Income statement  Financial indicators  Risk management framework  The banking simulation game is presented
  • Liquidity management
     Banking system: participants and liquidity  Measures  Basel requirements  Management in on-going and crisis scenarios  History of bank runs
  • Capital Markets
    The role of capital markets in bank’s funding  Instruments of banks at capital markets (bonds, Eurobonds, trade finance, syndicated loans)  Regulation
  • Capital management
     The goal of the capital requirements  Measures  Basel requirements  Capital management  Examples (why CBR have closed 25% of banks?)
  • Interest rate and FX risks management
     Sources of IRFX risks  Measures (regulatory and economic measures, gaps, behavioral adjustments, stress-tests)  Goals and strategies  Management (limits, hedging, balance and market instruments)  Examples: FX explosion in Russia 1998 and 2014
  • Pricing models and some principles of estimation banking products efficiency
    Funds transfer pricing: internal transfer rates and internal bank concept  Basic principles of product pricing: funding and risk components, capital charges  Basic principles of estimation banking products efficiency: scenario analysis, balance sheet dynamic modeling, cannibalization effect  Example: loan pricing
  • Banking Trends
    Simulation game “Balance Sheet Management”
Assessment Elements

Assessment Elements

  • non-blocking homework assignments
  • non-blocking banking simulation game analysis
  • blocking exam
  • non-blocking case Banc one
Interim Assessment

Interim Assessment

  • Interim assessment (3 module)
    0.15 * banking simulation game analysis + 0.15 * case Banc one + 0.5 * exam + 0.2 * homework assignments
Bibliography

Bibliography

Recommended Core Bibliography

  • Choudhry, M. (2011). Bank Asset and Liability Management : Strategy, Trading, Analysis. Chichester: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1103864
  • Frederic S. Mishkin. (2013). The Economics of Money, Banking and Financial Markets: Pearson New International Edition : The Business School Edition. Harlow, United Kingdom: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1418827

Recommended Additional Bibliography

  • Ahamed, L. (2009). Lords of Finance : The Bankers Who Broke the World. New York: Penguin Books. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1113743
  • Ali, R., Barrdear, J., Clews, R., & Southgate, J. (2014). The economics of digital currencies. Bank of England Quarterly Bulletin, (3), 276. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.boe.qbullt.0148
  • King, B. (2013). Bank 3.0 : Why Banking Is No Longer Somewhere You Go But Something You Do. Singapore: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=531508
  • Randall S. Kroszner. (2008). Strategic risk management in an interconnected world: a speech at the Risk Management Association Annual Risk Management Conference, Baltimore, Maryland, October 20, 2008. Speech. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.p.fip.fedgsq.428