Кто читает:: Международный институт экономики и финансов

Статус:: Курс по выбору

Когда читается:: 2-й курс, 3 модуль

Преподаватели

Дьяченко Дмитрий Эдуардович

Сидельников Сергей Сергеевич

Full 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

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

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

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

homework assignments
banking simulation game analysis
exam
case Banc one

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

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

Магистерская программа «Финансовая экономика»

Applied Banking