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: ilovealm2017@gmail.com
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: ilovealm2017@gmail.com
Cíl předmětu -
Poslední úprava: Ing. Viktor Kotlán, Ph.D. (25.01.2023)
Please switch to the english version.
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 - 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.
Poslední úprava: Ing. Viktor Kotlán, Ph.D. (25.01.2023)
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.
Poslední úprava: Mgr. Michaela Čuprová (07.06.2020)
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: Ing. Viktor Kotlán, Ph.D. (25.01.2023)
Please switch to the english version.
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)
