UCL - Bank Management II

[LSMS2020]

[30h] 5 credits

This course is taught in the 2d semester.

Teacher(s): Luc Henrard

Language: English

Level: Second

Aims
Main themes
Content and teaching methods
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Aims

Students should be able to accomplish a deep analysis of the assets and liabilities risks. From this analysis, based on specific risk measure, the level of economic capital needed for the bank is estimated.

Main themes

The course covers bank regulation regarding credit and market risk (Basle II) .Economic capital and business units performance are studies through concepts such as Loss Given Default, Expected Loss, Unexpected Loss and Value at Risk.

Content and teaching methods

The course is based on a real life cases study. It starts with Basle II banking regulation to estimate the level of capital required to cover the risks undertaken by the bank. The measure of the risks are based on an economic approach that uses concepts such as Expected Loss and Unexpected Loss for credit risk and Value at Risk for market risk.

Content
Banking regulation : Basle II
Economic capital
Credit risk : Loss Given Default, Expected Loss, Unexepected Loss
Market risk: Value at Risk
ALM risk (Asset Liability Management)

Methods
In-class activities
- Interactive seminar
- Project based learning

At home activities
- Readings to prepare the lecture
- Paper work

Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Prerequisites (ideally in terms of competiencies)
Basic economics, financial markets and financial instruments, introduction to bank management

Evaluation :
Evaluation is based on student participation to the seminar and on their presentations of the case study. A final written report enters also in the evaluation.

Support :
Books and articles available at the library (either paper or electronic review). Slides that summarize lecture contents are available on i-campus.

References :
Provide during the class

Internationalisation
- international content (does the course tackle international issues related to the course content ?)
- international case study

Corporate features
- case study
- corporate guest

Skills
- presentation skills
- team work