MODULE SPECIFICATION UNDERGRADUATE PROGRAMMES KEY FACTS. Asset Liability Management

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1 MODULE SPECIFICATION UNDERGRADUATE PROGRAMMES KEY FACTS Module name Asset Liability Management Module code FR3102 School Cass Business School Department or equivalent UG Programme UK credits 15 ECTS 7.5 Level 6 Delivery location (partnership programmes only) MODULE SUMMARY Module outline and aims Seeking a career in the banking and more general in the financial institutions arena, you need to have a thorough understanding of how to be able to manage these intermediaries from a financial point of view. The ALM module is designed to expand on the prior knowledge of risk, investment and financial management and enable you to grasp dynamic environment where banks and other institutions operate. The module brings the risk management of both sides of the balance sheet together in a unified framework. It focuses on the management of financial intermediaries, and aims to analyse financial risks, choose appropriate hedging strategies and monitor their implementation. The prime objective of these lectures is to provide a) a thorough grounding in the way banks and insurance firms operate, b) the necessary theoretical knowledge and statistical tools to measure different kinds of risks, and c) a comprehensive examination of the techniques and instruments for managing those risks in the banking and insurance industry. Content outline - Overview of the asset-liability management and the risks of FI - GAP analysis and IR risk exposure - Interest rate risk, balance sheet immunisation and hedging strategies - FOREX risk measurement and hedging strategies in ALM - Credit risk analysis and measurement - Loan portfolio management and concentration risk - Market risk and the use of VAR - CAR models

2 - Asset-liability swaps, CQS and other hedging strategies in ALM - Capital adequacy and the insolvency risk of financial institutions WHAT WILL I BE EXPECTED TO ACHIEVE? On successful completion of this module, you will be expected to be able to: Knowledge and understanding: - Have a comprehensive understanding of the fundamental approaches to portfolio construction - Understand and apply various Modern Portfolio Theory models for security selection and portfolio construction Skills: - Analyse and critically evaluate the characteristics of single securities or groups of securities within a risk-return framework - Analyse and critically evaluate the characteristics of single securities or groups of securities within a risk-return framework - Assess critically the extant empirical research in finance - Contribute to the evaluation of the performance of various portfolios Values and attitudes: - Use an investor-centred approach to security selection - Implement fair performance evaluation approaches HOW WILL I LEARN? The course will comprise 11 lectures of 3 contact time each. It aims to be highly participative and engaging. Students are also expected to devote an equivalent amount of learning time in private and/or group study and to work on the suggested exercises on a weekly basis. Teaching pattern: Teaching component Teaching type Contact Selfdirected study Placement Lectures Lecture Total student learning

3 Totals WHAT TYPES OF ASSESSMENT AND FEEDBACK CAN I EXPECT? Assessments Assessment is based on a written examination and a group coursework. The coursework is highly empirical, and the students will have to apply their theoretical and quantitative skills to demonstrate a sufficient understanding of the issues analyzed during the course. Assessment pattern: Assessment component Coursework Examination 2.25 Assessment criteria Assessment type Project output (other than dissertation) Written Exam Weighting Minimum qualifying mark Pass/Fail? 30 0 N/A 70 0 N/A Assessment Criteria are descriptions of the skills, knowledge or attributes students need to demonstrate in order to complete an assessment successfully and Grade-Related Criteria are descriptions of the skills, knowledge or attributes students need to demonstrate to achieve a certain grade or mark in an assessment. Assessment Criteria and Grade-Related Criteria for module assessments will be made available to students prior to an assessment taking place. More information will be available from the module leader. Feedback on assessment Following an assessment, students will be given their marks and feedback in line with the Assessment Regulations and Policy. You will obtain written feedback for your coursework within three weeks from submission. You will also have the chance to meet me and discuss aspects of your work. Assessment Regulations The Pass mark for the module is 40%. Any minimum qualifying marks for specific assessments are listed in the table above. The weighting of the different components can also be found above. The Programme Specification contains information on what happens if you fail an assessment component or the module.

4 INDICATIVE READING LIST Casu, B., C. Girardone & P. Molyneux Introduction to banking Prentice Hall. Saunders, A. & M.M. Cornett Financial Institutions Management: A Risk Management Approach McGraw-Hill. Version: 2.0 Version date: July 2013 For use from:

5 Appendix: see for the full list of JACS codes and descriptions CODES HESA Code Description Price Group 27 Business and Management D Studies JACS Code Description Percentage (%) N300 The study of financial systems, regulations and reporting. 100