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Bank Risk Management Course

This course examines risk management techniques used by banking institutions. It focuses on how banks identify, measure, monitor and control risk using both on and off-balance sheet methods. Tools like value at risk models are analyzed. Regulatory frameworks for supervising financial institutions before and after the 2008 crisis are considered. The quantitative course uses case studies and expects proficiency in areas like matrix computation, calculus, bond valuation and Excel. Course objectives are to analyze risk assessment methods in banks and how banks manage risk using various techniques on and off their balance sheets. Students will discuss recent banking events and implications for effective risk management.

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105 views2 pages

Bank Risk Management Course

This course examines risk management techniques used by banking institutions. It focuses on how banks identify, measure, monitor and control risk using both on and off-balance sheet methods. Tools like value at risk models are analyzed. Regulatory frameworks for supervising financial institutions before and after the 2008 crisis are considered. The quantitative course uses case studies and expects proficiency in areas like matrix computation, calculus, bond valuation and Excel. Course objectives are to analyze risk assessment methods in banks and how banks manage risk using various techniques on and off their balance sheets. Students will discuss recent banking events and implications for effective risk management.

Uploaded by

Grand Overall
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

BF2210

Bank Risk Management


_________________________________________________________________________

Course Description and Scope

This course examines the identification, measurement, monitoring and control of risk within banking
institutions. Our primary focus concerns the techniques banks use modify and reshape risk. We also
consider several tools to measure risk, including Value at Risk. Finally, we examine regulatory
frameworks of supervision of financial institutions, both prior to and following the financial crisis of
2008. The course uses several case studies to better understand how banking institutions manage
risk.

The course is quantitative in nature. Students are expected to know simple matrix computation
and be familiar with calculus. Some familiarity with bond valuation is also expected. Finally, I will
assume you have proficiency in Excel, and encourage you to use Excel for the course assignments.

Note, there will be overlap between this class and BF2209 Derivatives Securities. Specifically, I will
cover material similar to (1) derivative contracts covered in BF2209 Derivatives Securities, (2) how
to use these contracts as hedging tools.

Course Objectives

1. Provide economic rationales for risk management and analyze the methods to assess risk in
banking institutions.

2. Analyze how banking institutions manage risk using on and off balance sheet techniques.

3. Discuss and debate recent events concerning banking institutions and their implications for
effective risk management.

Course Assessments

Components Marks Individual / Group


1. Assignments 20 Individual
2. Case studies 20 Group
3. Participation 10 Individual
4. Final examination 50 Individual
Total 100

Page 1

Distributed by Nanyang Business School, Nanyang Technological University. All Rights Reserved.
Assessment Plan

Course Learning Objectives Assessment Method


1. Provide economic rationales for risk management and Participation, case studies, final exam.
analyze the methods to assess risk exposure in banking
institutions.
2. Analyze how banking institutions manage risk using, case Participation, assignments, final exam.
studies, on and off balance sheet techniques.
3. Discuss and debate recent events concerning banking Participation, case studies.
institutions and their implications for effective risk
management.

Textbook

Financial Institutions Management: A Risk Management Approach, Saunders and Cornett, Eight
Editions (McGraw-Hill International Edition), 2014

Proposed Weekly Schedule

Week Topic
1. Fundamental issues of risk management
2. Commercial banking business models - Asset-liability management
3. No class
4. Banking risk: Quantifying Interest rate risk
5. Banking risk: Managing Interest rate risk
6. Off-balance sheet approaches to interest rate risk management
7. Banking risk measurement: Value at Risk
8. Comparison of ALM and VaR approaches to risk management
9. The role of securitization in asset liability management
10. Banking risk: Credit Risk
11. Banking risk: Liquidity Risk
12. Banking risk: Operational risk and abuse of financial services
13. Regulation as a force shaping the banking sector

Page 2

Distributed by Nanyang Business School, Nanyang Technological University. All Rights Reserved.

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