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 The ALM module is designed to expand on the prior knowledge of risk, investment and financial management and enable you to grasp the dynamic environment where banks and other institutions operate. The course brings the management of both sides of the balance sheet of financial institutions together in a unified framework. The course studies the risks of asset allocation strategies and funding techniques, along with the pros and cons of a number of asset-liability management approaches. The main objective of the course is to make students able to understand and apply a) the assetliability management techniques and b) the models of capital adequacy. The course offers a) a thorough grounding in the meaning of financial intermediaries and the way they operate, b) the necessary theoretical knowledge and statistical tools to measure different kinds of risks, and c) a comprehensive analysis of the techniques and instruments for managing risks within the ALM framework. The course is highly participative and there will be highly practical cases in measuring and managing risks for financial institutions. Content outline ALM overview GAP analysis Interest rate risk FOREX risk Liquidity risk Sovereign risk VAR modelling Market risk

2 Credit risk Capital adequacy Financial crises WHAT WILL I BE EXPECTED TO ACHIEVE? On successful completion of this module, you will be expected to be able to: Knowledge and understanding: On completing the course the participants will: Have a clear and thorough understanding of how modern financial institutions employ the ALM techniques Have a comprehensive knowledge of the ALM theory, which imposes distinctive managerial challenges in modern financial markets. Demonstrate a deeper appreciation of specialised areas in asset management Skills: The graduates will be expected to be able to: Measure and manage various financial risks at an ALM level Contribute to the shaping and implementation of a corporation s ALM strategy Apply recent strategies from the ALM theory to enhance the risk-return profile of large financial enterprises Values and attitudes: - Implement an ethical centred approach to managing financial intermediaries - Appreciate the importance of financial markets welfare and the role of taxpayer - Implement a regulatory-abiding approach to risk management 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 Totals Total student learning

3 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 Pass/Fail? qualifying mark 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. Gardner M.J. & D.L.Mills Managing financial institutions: An asset-liability approach Dryden. Jorion, P. Value at Risk: The new benchmark for managing financial risk McGraw-Hill. Saunders, A. & M.M. Cornett Financial institutions management: A risk management approach McGraw-Hill. Version: 3.0 Version date: March 2017 For use from:

5 Appendix: see for the full list of JACS codes and descriptions CODES HESA Code Description Price Group 133 Business and Management D Studies JACS Code Description Percentage (%) N300 The study of financial systems, regulations and reporting. 100