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Bank Asset and Liability Management - JEM198

Title:	Bank Asset and Liability Management
Czech title:	Bank Asset and Liability Management
Guaranteed by:	Institute of Economic Studies (23-IES)
Faculty:	Faculty of Social Sciences
Actual:	from 2023
Semester:	summer
E-Credits:	5
Examination process:	summer s.:combined
Hours per week, examination:	summer s.:2/0, Ex [HT]
Capacity:	27 / unknown (27)
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	English
Teaching methods:	full-time
Teaching methods:	full-time
Note:	course can be enrolled in outside the study plan enabled for web enrollment priority enrollment if the course is part of the study plan

Guarantor:	Mgr. Matěj Kuc, Ph.D. Ing. Viktor Kotlán, Ph.D.
Teacher(s):	Ing. Viktor Kotlán, Ph.D. Mgr. Matěj Kuc, Ph.D.
Class:	Courses for incoming students
Incompatibility :	JEM197
Is incompatible with:	JEM197

Examination dates SS schedule Noticeboard

Annotation -

Last update: 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

Aim of the course -

Last update: 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.

Course completion requirements

Last update: Ing. Viktor Kotlán, Ph.D. (04.02.2024)

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

Literature -

Last update: Ing. Viktor Kotlán, Ph.D. (18.01.2024)

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.

Syllabus -

Last update: Ing. Viktor Kotlán, Ph.D. (18.01.2024)

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

Entry requirements -

Last update: 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)