Bank Asset and Liability Management - JEM198

• Anglický název: Bank Asset and Liability Management
• Český název: Bank Asset and Liability Management
• Zajišťuje: Institut ekonomických studií (23-IES)
• Fakulta: Fakulta sociálních věd
• Platnost: od 2018 do 2018
• Semestr: letní
• E-Kredity: 5
• Způsob provedení zkoušky: letní s.:kombinovaná
• Rozsah, examinace: letní s.:2/0, Zk [HT]
• Počet míst: 27 / neurčen (27)
• Minimální obsazenost: neomezen
• 4EU+: ne
• Virtuální mobilita / počet míst pro virtuální mobilitu: ne
• Stav předmětu: nevyučován
• Jazyk výuky: angličtina
• Způsob výuky: prezenční
• Způsob výuky: prezenční
• Poznámka: předmět je možno zapsat mimo plán; povolen pro zápis po webu; při zápisu přednost, je-li ve stud. plánu
• Garant: Ing. Michal Walos; Ing. Viktor Kotlán, Ph.D.
• Vyučující: Ing. Viktor Kotlán, Ph.D.; Ing. Michal Walos
• Třída: Courses for incoming students
• Neslučitelnost : JEM197
• Je neslučitelnost pro: JEM197

Anotace

Poslední úprava: Ing. Viktor Kotlán, Ph.D. (25.01.2023)

The course will provide a hands-on dive into how banks steer their balance sheets. The focus will be mainly on liquidity and interest rate (IR) positioning and steering. Students will understand how the IR position influences bank’s interest income and the value of its equity over time. How to position a bank to profit if rates are expected to increase/decrease/rotate? Alternatives to steering the balance sheet via internal pricing of liquidity (FTP) and externally, via operations with bonds and interest rate derivatives, will be explained and practiced. Real life banks' balance sheets and situations on financial markets will be used during the course as both lectors are employed as ALM professionals by a leading financial institutions. To make it more fun, students will form several groups (banks) which will get their own balance sheets as a basis for hands-on (mainly group) homework.

Course contact email: [e-mail]

Cíl předmětu

Poslední úprava: Ing. Viktor Kotlán, Ph.D. (25.01.2023)

The course will provide intermediate/advanced understanding of how banks steer assets and liabilities, liquidity and interest rate position using both internal tools and operations on financial market.

Podmínky zakončení předmětu

Poslední úprava: Ing. Viktor Kotlán, Ph.D. (18.01.2024)

final test: 30 points

midterm test: 20 points

homework = mainly group case studies: 50 points

  

grading

 

above 90	A
above 80	B
above 70	C
above 60	D
above 50	E
50 and less	F

Literatura

Poslední úprava: PhDr. Petr Bednařík, Ph.D. (06.06.2020)

Selected chapters from books below and articles distributed throughout the course

Choudhry, M.: Bank asset and liabilitiy management, John Wiley & Sons, 2007

Bessis, J.: Risk management in banking, Wiley, 2015

Sylabus

Poslední úprava: Ing. Viktor Kotlán, Ph.D. (20.01.2021)

 

preliminary schedule (as of 18.3.20)

#	when	what	what - content	case studies/assignments
1	19.02.2020	Intro to ALM	(i) Admin - Intro lecturers; Course program and expectations from both sides; Grading; (ii) ALM teaser - How does bank earn money. What does ALM do. Banks balance sheet; ALCO decisions, composition, report; active/passive ALM;	- intro info
2	26.02.2020	YC refresh and product characteristics	(i) Yield curve (shapes, theories, fwd rates, ASW, IR derivatives); Duration and Convexity; (ii) BS - product characteristics (LQ, IR behavior incl. amortization types and formulas) and resulting type of bank given BS structure	- due: sign up your team - circulated: assignment 1
3	04.03.2020	YC refresh and product characteristics Vol2	(i) Yield curve (shapes, theories, fwd rates, ASW, IR derivatives); Duration and Convexity; (ii) BS - product characteristics (LQ, IR behavior incl. amortization types and formulas) and resulting type of bank given BS structure	- due: assignment 1 - circulated: assignment 2
	11.3.2020	no class - school closed, remote teaching not ready yet
4	18.03.2020	Liquidity risk and FX risk	What, why, how. Measuring, steering. Liquidity gap. Regulatory ratios: LCR, NSFR. Daily and strategic FX risk. FX liquidity. Measurement, steering. Macro connections	- due: assignment 2 - circulated: assignment 3
5	25.03.2020	Hands-on (assignments 1+2)	Will go through the assignments in detail and practice hands-on.	- due: assignment 3
6	01.04.2020	Interest rate risk	Future floating rates based on forwards. IR gaps. Key rate shocks. Yearly earnings versus Value - optimization targets and impact on BS steering. Sensitivity of earnings and value. MVoE/EVE. Regulatory framework for IRRBB	- circulated: assignment 4
7	08.04.2020	Funds transfer pricing	Steering IR/LQ/FX risk - internally vs externally. FTP: why - controling/steering, principles, composition. Practical calculations. Structural contribution alias Transformation margin. Link to behavioral modeling - FTP of NMDs.	- due: assignment 4
8	15.04.2020	Hands-on (assignments 3+4)	Will go through the assignments in detail and practice hands-on.
9	22.04.2020	MIDTERM + current ALM topics	Negative rates, inverse yield curves, benchmark regulation and other hot topics.
10	29.04.2020	ALM and financial market	Market steering - (1) entering into fix/float positions with bonds/derivatives to hedge LQ and IR exposures, (2) Economic/accounting aspects of BB investments. Hedge accounting, cash flow vs fair value hedges. Funding – covered, senior, AT1, MREL.	- circulated: assignment 5
11	06.05.2020	no class - rektorské volno	no class - rektorské volno
12	13.05.2020	Hands-on (midterm + assignment 5)	Will go through the midterm and assignments in detail and practice hands-on.	- due: assignment 5
13	20.05.2020	ALCO report, presentations	Individual banks will present their ideas of how to cope with the assigned shocks using market or FTP actions. Discussion.

Vstupní požadavky

Poslední úprava: Ing. Viktor Kotlán, Ph.D. (25.01.2023)

• Understanding of banking and financial markets on basic/intermediate level
• Financial mathematics (eg. ability to derive forward rates from existing yield curve, calculation of interest and amortization schemes)