New Economic School
MA in Economics
BANKING
Module 5, May-June 2009
Instructor:
TA:
Dzhangir Dzhangirov (dzhangir-at-gmail.com)
Kirill Melkumyants (kirmelk-at-gmail.com)
Summary
This course discusses practical aspects of functioning of banks and banking systems. It considers
international practices and their applications to Russian banks. It will be valuable for students planning
to work within a commercial bank or bank credit/equity analysis sector as well as for students
planning to make research in macroeconomics and/or role of banking sector in macroeconomics.
Course materials
1. Risk Management in Banking 2nd ed., Joel Bessis
2. Bank Asset and Liability Management, Moorad Choudry
3. International Convergence of Capital Measurement and Capital Standards, BCBS, 1998 (Basel
Capital Accord, July 1988, updated to April 1998).
4. Amendment to the Capital Accord to Incorporate Market Risks, BCBS, 1996
5. International Convergence of Capital Measurement and Capital Standards. A revised
Framework, BCBS, 2004
6. Overview of The New Basel Capital Accord, BIS, 2001
7. Economics of Money, Banking, and Financial Markets, Frederic S. Mishkin
8. Options, Futures and Other Derivatives 6th ed., John C. Hull
9. Value at Risk, Philippe Jorion
Course requirements and grading
The course grade is made up of home assignment (30%) and final exam (70%).
Guest speakers (all from Sberbank)
1.
2.
3.
4.
5.
6.
7.
May 12 8.30pm – Alexander Morozov, Member of BoM, Head of Finance Department
May 19 8pm – Anton Karamzin, Deputy Chairman of BoM, CFO
May 26 8pm – Andrey Golikov, Member of BoM, Head of Financial Markets and Treasury
Jun 2 7.30pm – Svetlana Kiseleva, Head of Corporate Credit and Operational Risk
Jun 2 8.15pm – Vadim Kulik, Head of Retail Credit Risk
Jun 9 8pm – Ilkka Salonen, Deputy Chairman of BoM, Acting Head of Corporate Banking
Jun 16 8pm – Ksenia Yudaeva, Chief Economist, Head of Macroeconomic Analysis Department
BoM = Board of Management
1
Course outline and readings
Week
Date
Topic
Reading
1
May 12 The functions of banking
1. The role of banks in macroeconomic framework
2. Fractional-reserve lending
3. Banking system regulation
4. Russian banking sector overview: major players and
tendencies
5. Bank crisis around the world
Guest speaker: Alexander Morozov
[7]
2
May 19 Major activities of a commercial bank. Finance perspective
1. Organizational structure of a bank
2. Activities of a commercial bank
3. Assets and liabilities, off-balance sheet items
4. Balance sheet report, income statement, cash-flow
statement, financial indicators
Guest speaker: Anton Karamzin
[1] introduction,
1
additionally:
[2] 1,2
3
May 26 Money and foreign exchange market
1. Yield curve structure
2. Interbank deposit and REPO market
3. Fixed income instruments: cash-flows, duration
4. Interest rate derivatives
Guest speaker: Andrey Golikov
[7], [8]
4
Jun 2
Banking risks
1. Major types of risks
2. Capital adequacy ratio
3. Basel I, Central Bank of Russia framework
4. Capital arbitrage and adverse selection
Guest speaker: Svetlana Kiseleva, Vadim Kulik
[1] 2,3,4
additionally:
[2] 26,27
[3] pp. 1-3, 17-18
[4] pp. 1-8
5
Jun 9
Bank capital
1. Basel II framework
2. Regulatory and economic capital
3. Capital allocation and risk-adjusted performance
measurement
4. Capital adequacy ratio management
5. Asset securitization
6. Failure of existing concepts in 2007-2008
Guest speaker: Ilkka Salonen
[6] pp. 1-17, 2330
2
Week
Date
Topic
Reading
[1] 5
[2] pp.211-225,
247-279
6
Jun 16 Liquidity risk
1. Liquidity of financial system
2. Bank runs and deposit insurance system
3. Liquidity of financial institution: GAP analysis, cash flow
analysis, liquidity indicators, sources and reserves of
liquidity
4. Central Bank obligatory ratios
5. Liquidity risk management
6. Liquidity failures around the world
Guest speaker: Ksenia Yudaeva
7
[1] 26,27, 51-54
Jun 23 Asset Liability Management
1. Funds transfer pricing: internal transfer rates, internal bank
concept, mismatch income
2. Product, business-line profitability assessment
3. Interest rate risk measurement
4. Hedging interest rate risk
Guest speaker: TBD
3