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Banking and Risk Management - NMFM309

Title:	Bankovnictví a řízení rizik
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2023
Semester:	winter
E-Credits:	5
Hours per week, examination:	winter s.:2/2, C+Ex [HT]
Capacity:	unlimited
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
Additional information:	https://dl1.cuni.cz/course/view.php?id=15191

Guarantor:	doc. PhDr. Adam Geršl, Ph.D. Mgr. Magda Pečená, Ph.D.
Class:	M Bc. FM M Bc. FM > Doporučené volitelné
Classification:	Economics > Financial Economics Mathematics > Financial and Insurance Math.
Is interchangeable with:	NFAP017

Opinion survey results Examination dates WS schedule Noticeboard

Annotation -

Last update: RNDr. Jitka Zichová, Dr. (04.05.2023)

Banks and their lending policy. Risk management (credit, market, interest rate, liquidity, operational). Banking regulation. Basic knowledge of accounting and financial mathematics required. The course is run in English as JEM032 Banking and Risk Management at the Institute of Economic Studies, Faculty of Social Sciences (Opletalova 26).

Aim of the course -

Last update: doc. PhDr. Adam Geršl, Ph.D. (12.09.2022)

The course covers key topics related to bank operations. It helps students understand the nature of banks' balance sheets and their credit policies, asset and liabilities management, and main risks related to banks' business model such as interest rate risk, credit risk, market risk, operational risk, and liquidity risk. It also covers the basics of bank capital and liquidity regulation (Basel I-III). Each lecture is followed by a tutorial that provides students with examples and exercises related to the topic of the lecture. As a course project, students will work in small groups and prepare a credit application (a document with quantitative analysis with which a company asks a bank for a loan) as well as an appraisal of a different group's credit application (a document with which the bank's credit committee assesses the credit application). Background in finance and financial mathematics is required for enrolling in this course.

Literature - Czech

Last update: doc. PhDr. Adam Geršl, Ph.D. (12.09.2022)

Key reference:

Mejstřík, M.; Pečená, M.; Teplý, P.: Banking in Theory and Practice, Karolinum Press, Prague, ISBN 978-80-246-2870-7

The book can be purchased through http://www.cupress.cuni.cz/ink_ext/index.jsp?include=podrobnosti&id=3722. The e-version of the book is available at http://eknihy.cuni.cz/. You access the book via e.g. EBSCOhost, which transfers you to the CAS authorization website (you will need your UK login and password to view the book)

Other literature:

Sinkey, J. F.: Commercial Bank Management in the Financial Services Industry, 6th edition, New Jersey: Prentice Hall, 2002, ISBN 0-13-098424-8

Cornett M. M., Saunders A.: Fundamentals of Financial Institutions Management, Boston: Irwin, 1999, ISBN 0-256-25367-6

Dewatripont, M. - Tirole, J.: The Prudential Regulation of Banks, Cambridge: MM Press, 1993, ISBN 0-262-04146-4

Freixas X., Rochet J-Ch.: Microeconomics of Banking, Cambridge: MIT Press, 1998, ISBN 0-262-06193-7

Golin J.: The Bank Credit Analysis Handbook: A Guide for Analysts, Bankers and Investors, New York: Wiley, 2002, ISBN 471842176

Heffernan, S.: Modern Banking in Theory and Practice. New York: Wiley, 1996, ISBN 0-471-96208-0 (nebo --2)

Mejstřík, M.: Cultivation of Financial Markets in the Czech Republic, Prague: Karolinum Press, 2005, ISBN 80-246-0980-0

Molyneux, P.et al.: Efficiency in European Banking. New York: Wiley, 1996, ISBN 0-741-96211-2

Teaching methods -

Last update: doc. PhDr. Adam Geršl, Ph.D. (12.09.2022)

Lecture + tutorials.

Requirements to the exam -

Last update: doc. PhDr. Adam Geršl, Ph.D. (19.09.2023)

Course requirements:

Moodle-based Mid-term Test (max 25 pts)

Credit application (max 20 pts)

Credit appraisal (max 10 pts)

Moodle-based Final Test (max 40 pts)

Class/tutorial active participation (max 5 pts)

Note that you need at least 51 points to pass the course.

91– 100 pts Excellent A (1)

81 – 90 pts Very good B (1-)

71 – 80 pts Good C (2)

61 – 70 pts Satisfactory D (2-)

51 – 60 pts Satisfactory- E (3)

0 – 50 pts Failed F (fail)

Syllabus -

Last update: doc. PhDr. Adam Geršl, Ph.D. (19.09.2023)

All course documents are available in Moodle - please self-enroll yourself: https://dl1.cuni.cz/course/view.php?id=15191

Please bring a laptop to the tutorials! - most exercises will be done in Excel and using a laptop will help you to participate effectively

Our lectures run each Wednesday at 5 pm, tutorials at 6:30 pm, Room 109, IES building, Opletalova 26

Preliminary program of the course

1. Understanding Banks' Balance Sheets

2. Credit Application

3. Credit Risk I: Measurement and management

4. Market Risk

5. Credit Risk II: IFRS 9 provisioning

6. Interest Rate Risk and Asset Liabilities Management (ALM)

Mid-term test

7. Capital Regulation of Banks

8. Solvency Stress Testing

9. Liquidity Risk and Liquidity Regulation

10. Guest Lecture 1 by Ceska Sporitelna

11. Guest Lecture 2 by Ceska Sporitelna

Final test

Entry requirements -

Last update: RNDr. Jitka Zichová, Dr. (10.05.2021)

Passing NMFM201, NMFM207

Registration requirements - Czech

Last update: G_M (15.05.2012)

Zapisuje se po dohodě s oddělením finanční a pojistné matematiky katedry pravděpodobnosti a matematické statistiky.