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Establishment
Language of instruction
English
Teaching content
FINANCE
This course occurs in the following program(s)
IESEG Degree - Programme Grande École
- Crédits ECTS: 2.00
Training officer(s)
N.GRADOJEVIC
Stakeholder(s)
Spencer ANIAKOU, Nikola GRADOJEVIC
Présentation
Prerequisite
Students who register for this course should be familiar with
1. basic calculus, statistics and probability theory;
2. basics of banking and financial intermediaries (including the Basel 1, 2 and 3 Accords);
3. certain advanced calculus topics such as derivatives, integrals and limits of functions.
1. basic calculus, statistics and probability theory;
2. basics of banking and financial intermediaries (including the Basel 1, 2 and 3 Accords);
3. certain advanced calculus topics such as derivatives, integrals and limits of functions.
Goal
At the end of the course, the student should be able to:
-understand the basics of risks and risk management in banking;
-understand interest rate risk, interest rate risk types and interest rate derivatives;
-understand various interest rate risk management techniques and measures;
-understand asset liability management;
-understand the deposit contract and insurance.
-understand the basics of risks and risk management in banking;
-understand interest rate risk, interest rate risk types and interest rate derivatives;
-understand various interest rate risk management techniques and measures;
-understand asset liability management;
-understand the deposit contract and insurance.
Presentation
This course provides an overview of select advanced topics in risk management in banking. The course starts with some basic principles of risk management in banking industry. The types of interest rate risk that are covered include repricing risk, basis risk, gap risk and reinvestment risk. Next, the students will become familiar with interest rate derivatives and how they are used for hedging and speculating. Interest rate risk management techniques and measures such as the gap model, net interest income analysis, duration, covexity and DV01 will also be discussed. These topics are then generalized to asset-liability management as a central function of banks. In the final part, the course focuses on deposit insurance and its pricing.
Modalités
Organization
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours magistral | 16,00 | ||
| Autoformation | |||
| Recherche | 5,00 | ||
| Lecture du manuel de référence | 5,00 | ||
| Travail personnel | |||
| Charge de travail personnel indicative | 10,00 | ||
| Overall student workload | 36,00 | ||
Evaluation
After the first two days, the students will be assigned a few problems that will represent their take-home assignment and good practice for the final exam. The final exam will involve both theory and problem-type questions.
| Control type | Duration | Amount | Weighting |
|---|---|---|---|
| Examen (final) | |||
| Examen écrit | 2,00 | 1 | 60,00 |
| Autres | |||
| Rapport écrit | 0,00 | 1 | 40,00 |
| TOTAL | 100,00 | ||
Ressources
Bibliography
Stuart I. Greenbaum, Anjan V. Thakor: "Contemporary Financial Intermediation" (2007), 2nd Edition, Elsevier Science & Technology - Academic Press -
Joël Bessis: "Risk Management in Banking" (2010), 3rd Edition, Wiley -
Don M. Chance: "Analysis of Derivatives for the CFA Program" (2002), Association for Investment Management & Research -
Joël Bessis: "Risk Management in Banking" (2010), 3rd Edition, Wiley -
Don M. Chance: "Analysis of Derivatives for the CFA Program" (2002), Association for Investment Management & Research -
Internet resources