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Spring 2012- 2013

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EASTERN MEDITERRANEAN UNIVERSITY

FACULTY OF BUSINESS AND ECONOMICS

DEPARTMENT OF BANKING AND FINANCE

Spring 2012- 2013

COURSE CODE BANK 501 COURSE LEVEL 2nd Semester/1st Year (Graduate Course)
COURSE TITLE   Asset Liability Management
COURSE TYPE Area Core
LECTURER Assoc. Prof. Dr. Eralp Bektaş (Eralp.bektas@emu.edu.tr)
CREDIT VALUE 3 Credits ECTS VALUE 6
PREREQUISITES Familiarity with basic financial concepts (BANK 301 or FINA 302). Financial calculator will be used for problem solving.
COREQUISITES None
DURATION OF COURSE One Semester (15 Weeks)
WEB LINK http://fbemoodle.emu.edu.tr (go to Department of Banking & Finance, BANK501 Asset & Liability Management) Course tutor: Alimshan Faizulayev
CATALOGUE DESCRIPTION AIMS & OBJECTIVES This course provides a complete overview of asset and liability management (ALM). It focuses on fundamental principles and applications to financial risk management in any financial institution. It also concentrates on a solid, practical basis for currency and international funds risk issues by linking them with ALM.
GENERAL LEARNING OUTCOMES (COMPETENCES)   On successful completion of this course, all students will have developed knowledge and understanding of: - Interest rate risk and exchange rate risk for financial institutions - On-balance sheet hedging techniques, such as Gap Management and Duration Gap Management - Off -balance sheet hedging tools, Financial Futures, Options, Swaps and collars - Contingent assets and liabilities of banks   On successful completion of this course, all students will have developed their skills in: - Hedging against interest rate risk by various methods - Hedging against foreign exchange rate risk - Calculate net interest margin, and duration gap - Calculate the price sensitivity of securities - Calculate the change in the value of bank’s net worth due to interest rate changes   On successful completion of this course, all students will have developed their appreciation of and respect for values and attitudes regarding the issues of: - Complexities of financial risk management - Appreciate the asset and liability management techniques for financial institutions - Vulnerability of financial institutions  
RELATIONSHIP WITH OTHER COURSES Asset and Liability Management is a complementary course to FINA 521- Investment Appraisal and Risk management, as well as FINA 503 - Financial Institutions and Markets.  
LEARNING / TEACHING METHOD The learning method is based on classroom lectures, group discussions, working on case studies, solving assigned problem sets during weekly tutorial hours, mid-term and final examination.  
ASSIGNMENTS Assignments are designed to develop practical knowledge in Asset and Liability Management. They include case studies and problem sets. Assignments will be completed individually and in groups.
METHOD OF ASSESSMENT Quiz:15% Assignments:10% MidTermExam:35% Final Exam:40%
ATTENDANCE Attendance is required by school regulation. Students are strongly advised not to miss lecture hours and tutorials since success has been observed to be closely related with attendance.  
TEXTBOOK/S 1. Anthony Sounders and Marcia M. Cornett (2011) Financial Institutions Management: A Risk Management Approach,Seventh Edition, McGraw Hill, New York.    
INDICATIVE BASIC READING LIST 1. It is recommend that students read The Economist, and The Financial Times, regularly.  
EXTENDED READING LIST 1.Marcia M. Cornett and Anthony Sounders (1999) Fundamentals of Financial Institutions Management,McGraw Hill International Editions, Finance Series, McGraw Hill.   2. Peter S Rose and Sylvia Hudgins Bank Management and Financial Services, Eight Edition, McGraw Hill, New York.  
SEMESTER OFFERREDSpring Semesters  
CONTENT & SCHEDULE Lectures will be held on Tuesdays (9:30-12:30) in BEA2. The lecture topics within the semester are as in the following schedule.  
WEEK DATE TOPICS AND READING MATERIALS
  19 February 2013 Risk of Financial Institution:Chapter 7
  26 February 2013 Interest Rate Risk I,Saunders and Cornett(2011), Chp.8 a) The level and movement of interest rates b) The repricing model c) Weaknesses of the repricing model
  05 March 2013 Interest Rate Risk II,Saunders and Cornett(2011), Chp.9 a) Duration b) Features of Duration c) Economic meaning of duration d) Duration and interest rate risk Difficulties in applying the duration model
  12 March 2013 Market RiskSaunders & Cornett (2011) Chp.10 a) Calculating Market Risk Exposure b) The Riskmetrix Model The Monte Carlo Simulation Approach  
  19 March 2013 Credit Risk: Individual Loan RiskSaunders & Cornett (2011), Chp.11 Sounders & Cornett (2006) Chp.11 a) Credit Quality Problems b) Calculating Return on a Loan Default Risk Models
  26 March 2013 Credit Risk: Loan Portfolio and Concentration Risk Saunders & Cornett (2011), Chp.12 a) Simple models of loan concentration risk b) Loan diversification and modern portfolio theory (MPT) c) Moody’s KMV portfolio manager model d)Regulatory models
  03 April- 13 April 2013   MID-TERM EXAMS
  16 April, 2013 Liquidity Risk.Saunders & Cornett (2011) Chp.17 a) Liability Side Liquidity Risks b) Asset Side Liquidity Risks c) Measuring a Bank’s Liquidity Exposure
  30 April, 2013 Liability and Liquidity Management Saunders & Cornett (2011), Chp.18 a) Liquid asset management b) Return-Risk tradeoff for liquid assets c) Liability management d)Choice of liability structure
  07 May, 2013 Capital Adequacy.Saunders & Cornett (2011), Chp.20 a) Capital and Solvency Risk b) Market Value of Capital c) Book Value of Capital
  14 May, 2013 Foreign Exchange Risk.Saunders & Cornett (2011), Chp. 14 a) Net Exposure b) Net Long and Net Short in Currency c) Loss and Gain in Currency d) Foreign Currency Trading
  21 May, 2013 Technology and Other Operational Risks. Sounders & Cornett (2011) Chp.16 a) Technological Innovation and Profitability b) Revenues and Costs c) Economies of Scale and Economies of Scope
  27 May, 2013 Sovereign Risk. Sounders & Cornett (2011) Chp. 15 a) Credit Risk vs. Sovereign Risk b) Debt Repudiation vs. Debt Rescheduling c) Country Risk Evaluation (Tutorial 10, Assignement 10)
    The end of classes
  27 May -11 June, 2013 Final Exams

 

 
TUTORIAL SCHEDULES
WEEK Saunders and Cornett(2011), Chp.8 TUTORIAL WORK
  Saunders and Cornett(2011), Chp.9 End of Chapter Problems
  Saunders and Cornett(2011), Chp.10 End of Chapter Problems
  Saunders and Cornett(2011), Chp.11 End of Chapter Problems  
  Saunders and Cornett(2011), Chp.12 End of Chapter Problems  
  Saunders and Cornett(2011), Chp.13 End of Chapter Problems
  Saunders and Cornett(2011), Chp.14 End of Chapter Problems
  Saunders and Cornett(2011), Chp.15 End of Chapter Problems
  Saunders and Cornett(2011), Chp.16 End of Chapter Problems
  Saunders and Cornett(2011), Chp.817 End of Chapter Problems
  Saunders and Cornett(2011), Chp.18 End of Chapter Problems
  Saunders and Cornett(2011), Chp.20 End of Chapter Problems

 
  PLAGIARISM This is intentionally failing to give credit to sources used in writing regardless of whether they are published or unpublished. Do not copy from others. Academic dishonesty carries a penalty that may range from receiving a grade of zero to expulsion from the university. Plagiarism is an offence and will be dealt with according to the university regulations.  
MAKE-UP EXAMS Only the students who have valid excuses, and contacts the course lecturer within three days of missing the exam, will be allowed to take make-up examinations. Make-up examinations are given only for the mid-term and final exams, there is no make-up exam for quiz.   IMPORTANT DATES
  • Oct. 01, 2012 The last day for add and drop.
  • Oct 23-28, 2012 Religious Holiday
Nov. 15,2012 TRNC Republic Holiday
  • Nov. 30, 2012 Last Day for Course Withdrawal
  • Dec 28, 2012 The Last day of classes
  • Jan 03-18 2013 Final Exams
 
           

 


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