Банковский менеджмент и анализ рисков

Бакалавриат 2022/2023

Статус: Курс обязательный (Международная программа по экономике и финансам)

Направление: 38.03.01. Экономика

Кто читает: Международный институт экономики и финансов

Где читается: Международный институт экономики и финансов

Когда читается: 3-й курс, 1-4 модуль

Формат изучения: с онлайн-курсом

Онлайн-часы: 36

Охват аудитории: для своего кампуса

Преподаватели: Качалов Дмитрий Александрович, Кестнер Ирина Владимировна, Перминова Марина Владимировна, Шуклина Василиса Олеговна

Язык: английский

Кредиты: 8

Контактные часы: 120

Full 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

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

– 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

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

Final exam
First semester test
home assignments and seminar activity
Written exam in December
Second semester test

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

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

Presentation

Syllabus for Financial Intermediation

Authors

KACHALOV DMITRIY ALEKSANDROVICH

Course Syllabus