The course will provide a hands-on dive into how banks steer their balance sheets and interest income using financial market instruments. If you think about career in finance, CFO, trading, treasury, asset management, this is the course for you! 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: ilovealm2017@gmail.com
Poslední úprava: Kotlán Viktor, Ing., Ph.D. (04.02.2025)
The course will provide a hands-on dive into how banks steer their balance sheets and interest income using financial market instruments. If you think about career in finance, CFO, trading, treasury, asset management, this is the course for you! 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: ilovealm2017@gmail.com
Poslední úprava: Kotlán Viktor, Ing., Ph.D. (04.02.2025)
Cíl předmětu -
Please switch to the english version.
Poslední úprava: Kotlán Viktor, Ing., 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.
Poslední úprava: Kotlán Viktor, Ing., Ph.D. (25.01.2023)
Podmínky zakončení předmětu - angličtina
GRADING
- midterm exam 25%
- SVB case presentations 5%
- ALCO report 15%
- final test 50%
- activity bonus 5%
grading
above 90
A
above 80
B
above 70
C
above 60
D
above 50
E
50 and less
F
Poslední úprava: Kotlán Viktor, Ing., Ph.D. (04.02.2024)
Literatura -
Selected chapters from books below and articles distributed throughout the course
Mejstřík, Milan; Pečená Magda; Teplý Petr: Banking in theory and practice (Bankovnictví v teorii a praxi), Karolinum, 2015.
Choudhry, Moorad: Bank Asset and Liability Management: Strategy, Trading, Analysis, John Wiley & Sons, Inc., 2011.
Farahvash, Pooya: Asset-Liability and Liquidity Management, John Wiley & Sons, Inc., 2020.
Bessis, J.: Risk Management in Banking, New Jersey: Wiley, 2015.
Poslední úprava: Kotlán Viktor, Ing., Ph.D. (18.01.2024)
Selected chapters from books below and articles distributed throughout the course
Mejstřík, Milan; Pečená Magda; Teplý Petr: Banking in theory and practice (Bankovnictví v teorii a praxi), Karolinum, 2015.
Choudhry, Moorad: Bank Asset and Liability Management: Strategy, Trading, Analysis, John Wiley & Sons, Inc., 2011.
Farahvash, Pooya: Asset-Liability and Liquidity Management, John Wiley & Sons, Inc., 2020.
Bessis, J.: Risk Management in Banking, New Jersey: Wiley, 2015.
Poslední úprava: Kotlán Viktor, Ing., Ph.D. (18.01.2024)
Sylabus -
Intro to ALM
ALM basics & Interest rates
Product and valuation fundamentals
Liquidity risk and FX risk
MIDTERM
Interest rate risk
Funds transfer pricing + midterm results
ALM and financial market + SVB assignment
ALCO report assignment + explanation
Silicon Valley Bank case
Current ALM topics
ALCO reports - presentations
Poslední úprava: Kotlán Viktor, Ing., Ph.D. (04.02.2025)
Intro to ALM
ALM basics & Interest rates
Product and valuation fundamentals
Liquidity risk and FX risk
MIDTERM
Interest rate risk
Funds transfer pricing + midterm results
ALM and financial market + SVB assignment
ALCO report assignment + explanation
Silicon Valley Bank case
Current ALM topics
ALCO reports - presentations
Poslední úprava: Kotlán Viktor, Ing., Ph.D. (04.02.2025)
Vstupní požadavky -
Please switch to the english version.
Poslední úprava: Kotlán Viktor, Ing., 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)
Poslední úprava: Kotlán Viktor, Ing., Ph.D. (25.01.2023)