SubjectsSubjects(version: 920)
Course, academic year 2022/2023
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Banking - NMFM309
Title: Bankovnictví
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2022
Semester: winter
E-Credits: 5
Hours per week, examination: winter s.:2/2, C+Ex [HT]
Capacity: unlimited
Min. number of students: unlimited
Virtual mobility / capacity: no
State of the course: taught
Language: English
Teaching methods: full-time
Additional information: https://dl1.cuni.cz/course/view.php?id=13796
Guarantor: doc. PhDr. Adam Geršl, Ph.D.
prof. PhDr. Petr Teplý, Ph.D.
Mgr. Magda Pečená, Ph.D.
Class: M Bc. FM
M Bc. FM > Doporučené volitelné
Classification: Economics > Financial Economics
Mathematics > Financial and Insurance Math.
Is interchangeable with: NFAP017
Annotation -
Last update: RNDr. Jitka Zichová, Dr. (10.05.2021)
Behavior of interest rates, asset liability management, risk management. Requierements: basics of accounting. The course is organized at the Faculty of Social Sciences, Charles University. Course in english.
Aim of the course -
Last update: doc. PhDr. Adam Geršl, Ph.D. (12.09.2022)

The course covers key topics related to bank operations. It helps students understand the nature of banks' balance sheets and their credit policies, asset and liabilities management, and main risks related to banks' business model such as interest rate risk, credit risk, market risk, operational risk, and liquidity risk. It also covers the basics of bank capital and liquidity regulation (Basel I-III). Each lecture is followed by a tutorial that provides students with examples and exercises related to the topic of the lecture. As a course project, students will work in small groups and prepare a credit application (a document with quantitative analysis with which a company asks a bank for a loan) as well as an appraisal of a different group's credit application (a document with which the bank's credit committee assesses the credit application). Background in finance and financial mathematics is required for enrolling in this course.

Literature - Czech
Last update: doc. PhDr. Adam Geršl, Ph.D. (12.09.2022)

Key reference:

Mejstřík, M.; Pečená, M.; Teplý, P.: Banking in Theory and Practice, Karolinum Press, Prague, ISBN 978-80-246-2870-7

The book can be purchased through http://www.cupress.cuni.cz/ink_ext/index.jsp?include=podrobnosti&id=3722. The e-version of the book is available at http://eknihy.cuni.cz/. You access the book via e.g. EBSCOhost, which transfers you to the CAS authorization website (you will need your UK login and password to view the book)

Other literature:

Sinkey, J. F.: Commercial Bank Management in the Financial Services Industry, 6th edition, New Jersey: Prentice Hall, 2002, ISBN 0-13-098424-8

Cornett M. M., Saunders A.: Fundamentals of Financial Institutions Management, Boston: Irwin, 1999, ISBN 0-256-25367-6

Dewatripont, M. - Tirole, J.: The Prudential Regulation of Banks, Cambridge: MM Press, 1993, ISBN 0-262-04146-4

Freixas X., Rochet J-Ch.: Microeconomics of Banking, Cambridge: MIT Press, 1998, ISBN 0-262-06193-7

Golin J.: The Bank Credit Analysis Handbook: A Guide for Analysts, Bankers and Investors, New York: Wiley, 2002, ISBN 471842176

Heffernan, S.: Modern Banking in Theory and Practice. New York: Wiley, 1996, ISBN 0-471-96208-0 (nebo --2)

Mejstřík, M.: Cultivation of Financial Markets in the Czech Republic, Prague: Karolinum Press, 2005, ISBN 80-246-0980-0

Molyneux, P.et al.: Efficiency in European Banking. New York: Wiley, 1996, ISBN 0-741-96211-2

Teaching methods -
Last update: doc. PhDr. Adam Geršl, Ph.D. (12.09.2022)

Lecture + tutorials.

Requirements to the exam -
Last update: doc. PhDr. Adam Geršl, Ph.D. (20.09.2021)

Course requirements:

Online Mid-term Test (max 30 pts)

Credit application (max 20 pts)

Credit appraisal (max 10 pts)

Online Final Test (max 40 pts)

Class/tutorial active participation ("bonus points" max 5 pts, can only be used to substitute missing points from the previous four requirements so that the total points are always max 100)

Note that you need at least 51 points to pass the course.

91– 100 pts Excellent A (1)

81 – 90 pts Very good B (1-)

71 – 80 pts Good C (2)

61 – 70 pts Satisfactory D (2-)

51 – 60 pts Satisfactory- E (3)

0 – 50 pts Failed F (fail)

Syllabus -
Last update: doc. PhDr. Adam Geršl, Ph.D. (12.09.2022)

All course documents are available in Moodle - please self-enroll yourself: https://dl1.cuni.cz/course/view.php?id=13796

Please bring a laptop to the tutorials! - most exercises will be done in Excel and using a laptop will help you to participate effectively

Our lectures run each Wednesday at 5 pm, tutorials at 6:30 pm, Room 109, IES building, Opletalova 26

Program of the course

1. Introduction

2. Understanding Banks' Balance Sheets and Credit Application

3. Credit Risk I: Measurement and management

4. Credit Risk II: IFRS 9 provisioning

5. Market Risk

6. Interest Rate Risk and Asset Liabilities Management (ALM)

Mid-term test (Nov 16)

7. Capital Regulation of Banks

8. Liquidity Risk and Liquidity Regulation

9. Solvency Stress Testing

10. Guest Lecture I on ESG, climate change and banking

11. Guest Lecture II on operational risk at banks and its management

Entry requirements -
Last update: RNDr. Jitka Zichová, Dr. (10.05.2021)

Passing NMFM201, NMFM207

Registration requirements - Czech
Last update: G_M (15.05.2012)

Zapisuje se po dohodě s oddělením finanční a pojistné matematiky katedry pravděpodobnosti a matematické statistiky.

 
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