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Regular version of the site

Applied Banking

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

Instructors


Дьяченко Дмитрий Эдуардович


Сидельников Сергей Сергеевич

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