It is strongly recommended to refresh the contents of the courses of financial mathematics and monetary economics.
At the end of the course, students will be able to understand the trends and changing pattern in bank intermediation models and their key attributes in terms of profitability and risks. Students will gain a basic knowledge of the main business areas of bank management, with special focus on credit and funding decisions; will also be able to identify the main drivers of bank performance and to assess them thorough the balance- sheet ratios most commonly used in empirical studies.
Evolution of banking models;Funding policies and liquidity risk;Interest rate risk analysis; Loan management and credit risk; Bank financial statements and accounting
I - Evolution of banking models
Risk and maturity transformation in the intermediation models
A balance sheet view of banking models
II. Funding policies and liquidity risk
Funding sources of banks: retail and wholesale funding
Sources of liquidity
Costs and risks of different funding sources
Capital and leverage
Relationship between liquidity and solvency
III - Interest rate risk analysis
Interest rate risk analysis
Maturity gap and maturity gap models
Principles of hedging interest rate risk
IV - Loan management and credit risk
Private and Corporate credit assessment and valuation
Main bank loan operations
Main drivers of credit risk and loan pricing
V- Bank financial statements and accounting
Fair value accounting
The bank’s balance sheet
The bank’s income account
Performance analysis using financial ratios
MOTTURA, P., PACI, S. (eds.) (2009), Banca. Economia e Gestione, Milano: Egea: Chapters: 1 (section 1.1), 2, 3, 4 (sections 4.1 and 4.2), 5, 6 (sections 6.1 and 6.2).
- Partial examination: written
- Final examination: written and oral
News on banking and case histories will be presented during the course.