PředmětyPředměty(verze: 908)
Předmět, akademický rok 2022/2023
   Přihlásit přes CAS
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 2022
Semestr: letní
E-Kredity: 5
Způsob provedení zkoušky: letní s.:kombinovaná
Rozsah, examinace: letní s.:2/0, Zk [HT]
Počet míst: neomezen / neurčen (27)
Minimální obsazenost: neomezen
Virtuální mobilita / počet míst: ne
Stav předmětu: vyučován
Jazyk výuky: angličtina
Způsob výuky: prezenční
Další informace: http://meet.google.com/rxu-aiba-wmk
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: Mgr. Michaela Čuprová (02.02.2020)
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) risks and their steering. Students will understand how the IR position influences bank’s interest income and the value of its equity over time. 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 domestic 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.
Cíl předmětu -
Poslední úprava: SCHNELLEROVA (25.10.2019)

Please switch to the english version.

Podmínky zakončení předmětu - angličtina
Poslední úprava: Ing. Viktor Kotlán, Ph.D. (27.04.2020)

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. (15.05.2020)

Selected chapters from books below and articles distributed throughout the course

Choudhry, M.: Bank Asset and Liabilitiy Management, New Jersey: John Wiley & Sons, 2007.

Bessis, J.: Risk Management in Banking, New Jersey: Wiley, 2015.

Sylabus -
Poslední úprava: PhDr. Petr Bednařík, Ph.D. (15.05.2020)

Lectures

1) 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;

 

2) 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

 

3) 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

 

4) Liquidity risk and FX risk        

      

5) What, why, how. Measuring, steering. Liquidity gap. Regulatory ratios: LCR, NSFR. Daily and strategic FX risk. FX liquidity. Measurement, steering. Macro connections

 

6) Interest rate risk             

 

7) 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

 

8) Funds transfer pricing   

 

9) 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.

    

10) ALM and financial market           

 

11) 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.

    

12) 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: SCHNELLEROVA (25.10.2019)

Please switch to the english version.

 
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