UCL - Bank management I

[LSMS2019]

[30h] 5 credits

Teacher(s): Philippe Grégoire, 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 read and understand bank financial statements and to realize a UBPR (Unified Bank Performance report). Bank economic performance and risk management are covered in the second part of the course with a focus on interest rates and credit risk management

Main themes

Two main themes are addressed in this course. The course starts with a balanced sheet approach for risk and performance. Then an economic view is adopted to measure the bank risk-return trade-off. Calculation of the level of economic capital is studied in the case of market risk and credit risk.

Content and teaching methods

The course gives an overview of the different item of the bank balance sheet and the link between the income statement and the actual assets and liabilities. Performance is first analyzed with standard methods based on ratios. Then an economic approach is taken to estimate the bank and the business units performance (RAROC, RORAC). Measures such as Expected Loss, Unexpected Loss and Value at Risk are developed. Students will have to complete a business case related to risk management.

Content
Asset and liabilities
Off balance sheet
Income statement
Performance analysis
Economic capital
Return adjusted to risk (RAROC, RORAC)
Interest rate risk
Credit risk
Asset Liability Management (ALM)

Methods
In-class activities
- Lectures
- Project based learning

At home activities
- 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

Evaluation : Class participation and oral examination, in French or English
Final evaluation is based on the paper work for 1/3 of the final note. 2/3 of the final note results from an written exam.

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
- corporate guest

Skills
- team work