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Financial Institutions

  • Enseignant(s):   R.Mihet  
  • Titre en français: Institutions financières
  • Cours donné en: anglais
  • Crédits ECTS: 3 crédits
  • Horaire: Semestre d'automne 2020-2021, 2.0h. de cours (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • 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

This course will focus on the financial management and regulation of financial institutions, with a primary focus on commercial banks. Students should be able to comprehend the various forms of risks faced by intermediaries and the trade-offs required in order to balance portfolio risks and returns. The focus will be on the modern techniques of asset, liability and risk management, with an eye towards the regulatory issues on capital adequacy, deposit insurance and risk-shifting as they affect the safety and soundness of the financial system.

At times, we will hear from practitioners in the banking industry, academics, as well as economists in central banks and international organizations who have studied or worked in the management of financial risks.

This knowledge provides a sound basis for working in and/or doing research on financial institutions.

Contenus

Not All sections of all chapters will be required. Sections to be omitted will be announced in class. Your dedicated attendance will save you time and headaches. The chapters that are in bold will be the ones that have the highest chance of coverage. The other chapters may be covered as time permits. Also, regularly check the web-site for changes and announcements.

Part I: Overview

1. Introduction

2. Financial Services Industry

3. Why are Financial Intermediaries Special?

Part II: Risks of Financial Institutions

1. Overview of Risks

2. Interest rate risk

3. Market Risk

4. Credit Risk

5. Off-Balance-Sheet Activities

6. Operational and Technology

7. Foreign Exchange Risk

8. Sovereign Risk

9. Liquidity risk


Part III: Managing Risks - Regulations

1. Liability and Liquidity Management

2. Deposit Insurance

3. Capital Adequacy

4. Product and Geographic Diversification

6. Loan Sales and Securitization

Références

No single book covers all the relevant topics. Therefore there is no required textbook for this class, but there are required readings (see below):

  1. Financial Institutions Management: a Risk Management Approach by Anthony Saunders and Marcia Cornett, Irwin-McGraw Hill, 5e, 2005. Good overview of risk management.
  2. Risk Management and Financial Institutions, by John C. Hull, Wiley, 3e, 2012

Other useful textbooks are:

  • Options, Futures and Other Derivatives by John C. Hull, Pearson Prentice Hall, 6e, 2006. Good reference for derivatives but too light on credit risk.
  • Value at Risk by Philippe Jorion, McGraw Hill, 3e, 2007. Very focused on VaR, and too light on credit risk.
  • Fixed Income Securities by Bruce Tuckman, Wiley, 2e, 2002. Best reference for fixed income. But nothing on credit risk.
  • Credit Risk Modeling by David Lando, Princeton University Press, 2004. Good overview of theory and data, but advanced mathematics required.

If you are interested in how government and central banks react to financial crisis, the best notes are on David Romer’s website: “Short-Run Fluctuations” available on his website at Berkeley (http://elsa.berkeley.edu/~dromer, version January 2013).

I will also assign some:

  • Financial Stability Reports (from various years), Swiss National Bank (as well as othercentral banks or IMF)
  • Basel Committee on Banking Supervision (BCBS) documents.
  • Research papers where appropriate (tba).

Subject to change.

Pré-requis

Basic knowledge of a bank's balance sheet, basic mathematical skills, experience with Excel spreadsheets.

Evaluation

1ère tentative

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

Exam:

  • The final exam is mandatory and required to pass the course.
  • The exam will be online during the exam period.

Rattrapage

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

Exam:

  • The final exam is mandatory and required to pass the course.
  • The exam will be online during the exam period.


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