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 2023
• 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: vyučován
• Jazyk výuky: angličtina
• Způsob výuky: prezenční
• Poznámka: předmět je možno zapsat mimo plán; povolen pro zápis po webu; při zápisu přednost, je-li ve stud. plánu
• Garant: Mgr. Matěj Kuc, Ph.D.; Ing. Viktor Kotlán, Ph.D.
• Vyučující: Ing. Viktor Kotlán, Ph.D.; Mgr. Matěj Kuc, Ph.D.
• Třída: Courses for incoming students
• Neslučitelnost : JEM197
• Je neslučitelnost pro: JEM197

Anotace

čeština

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 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]

Poslední úprava: Kotlán Viktor, Ing., Ph.D. (09.02.2024)

angličtina

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]

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

Cíl předmětu

čeština

Please switch to the english version.

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

angličtina

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

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

čeština

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

čeština

21.2.2024	Intro to ALM
28.2.	ALM basics & Interest rates
6.3.	Product and valuation fundamentals
13.3.	Liquidity risk and FX risk
20.3.	MIDTERM
27.3.	Interest rate risk
3.4.	Funds transfer pricing + midterm results
10.4.	ALM and financial market + SVB assignment
17.4.	Silicon Valley Bank case
24.4.	ALCO report assignment + explanation
1.5.	State holiday
8.5.	State holiday
15.5.	Current ALM topics
22.5.	ALCO reports - presentations

Poslední úprava: Kotlán Viktor, Ing., Ph.D. (12.03.2024)

angličtina

21.2.2024	Intro to ALM
28.2.	ALM basics & Interest rates
6.3.	Product and valuation fundamentals
13.3.	Liquidity risk and FX risk
20.3.	Interest rate risk
27.3.	MIDTERM
3.4.	Funds transfer pricing + midterm results
10.4.	ALM and financial market + SVB assignment
17.4.	Silicon Valley Bank case
24.4.	ALCO report assignment + explanation
1.5.	State holiday
8.5.	State holiday
15.5.	Current ALM topics
22.5.	ALCO reports - presentations

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

Vstupní požadavky

čeština

Please switch to the english version.

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

angličtina

• 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)