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Asset & Liability Management for Banks

  • Enseignant(s): D.Michoud
  • Titre en français: Gestion des actifs et passifs pour les banques
  • Cours donné en: anglais
  • Crédits ECTS: 3 crédits
  • Horaire: Semestre de printemps 2017-2018, 2.0h. de cours (moyenne hebdomadaire)
  •  séances
  • Formations concernées:
    Maîtrise universitaire ès Sciences en finance : Entrepreneuriat financier et science des données

    Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise

    Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques

 

Objectifs

Students will learn the main concepts of banks balance sheet management: we will analyse different types of banks, their respective balance sheets (and off balance sheet items), the risks to be managed (liquidity, interest rate, credit, regulatory) and define and use some of the most popular approaches to measure and manage these risks.

ALM being far from theory, but more a practical discipline, student will see how it mixes concepts from accounting, financial theory, behavioural analysis and ptractical regulatro constraints.

Contenus

The course is structured around the following concepts:

1. the bank balance sheet and the acounting framework

2. liquidity risk

3. interest rate risk

4. credit risk: credit portfolio & pricing of retail products

5. from traditional ALM to "Total balance sheet management"

6. the Basel regulatory framework

Références

The course will be supported with dedicated lecture notes.

Additional interesting resources are :

[1] P. Demaey, A. Frachot, G. Riboulet, Introduction à la Gestion Actif-Passif Bancaire, Editions Economica, Collection Gestion, 2003

[2] R. Jameson, ERisk Case Study, 2002, www.erisk.com

[3] J. Bessis, Risk Management in Banking, Third Edition, Wiley, 2010.

[4] H.S. Shin, Risk & Liquidity, Clarendon, 2010

[5] L. Matz & P. Neu Editors, Liquidity Risk, Measurement & Management, Wiley, 2007

[6] R.A. Jarrow, D. Lando and S. Turnbull, Review of Financial Studies, Summer, pp. 481-523, 1997

[7] J.P. Pereira, Credit Risk, ISCTE Business School, June 2012

[8] M. K. Ong, Internal Credit Models, Capital allocation & Performance Measurement, Risk Books, Risk Waters Group,1999

Evaluation

1ère tentative

Examen:
Ecrit 2h00 heures
Documentation:
Non autorisée
Calculatrice:
Autorisée
Evaluation:

The will be assignments given at the end each course (every 2 weeks). These assignments can be done in groups of up to 4 students, and will be graded.

The Exam will be a 2 hours written exam, with closed books but with authorized calculators. No laptop or cellphone will be allowed during the exam. Students are allowed to bring a single one-sided sheet of A5 paper containing formulas for their exclusive use.

The final mark will be calculated as 0.3* Avg(assignments) + 0.7*Exam mark

Rattrapage

Examen:
Ecrit 2h00 heures
Documentation:
Non autorisée
Calculatrice:
Autorisée
Evaluation:

The will be assignments given at the end each course (every 2 weeks). These assignments can be done in groups of up to 4 students, and will be graded.

The Exam will be a 2 hours written exam, with closed books but with authorized calculators. No laptop or cellphone will be allowed during the exam. Students are allowed to bring a single one-sided sheet of A5 paper containing formulas for their exclusive use.

The final mark will be calculated as 0.3* Avg(assignments) + 0.7*Exam mark



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