Commercial Bank Management
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COMMERCIAL BANK MANAGEMENT Quarter: December 2009- February 2010 Faculty M Jayadev Office 2-A Telephone Office 26993138 Residence 26993341 e-mail jayadevm @iimb.ernet.in Credits: 3 Session Duration: 90 minutes Course Objectives: The primary thrust of the course is to provide understanding on financial management of commercial banks. The first part of the course emphasizes on functional aspects of commercial banking: liabilities management, credit management capital management, and, investment management. The global norms set by Basel committee and the policy guidelines suggested by the RBI will be combined with the discussion on functional aspects of commercial banking. The second part of the course is focused on risk management in commercial banks. This part is devoted to application of asset-liability management techniques, management of interest rate risk, interest rate swaps, modern aspects of credit risk management, credit derivatives, and operational risk management. Reading Material: A copy of collection of readings and cases will be provided to each student Reference books: Financial Institutions Management: A Risk Management Approach, Anthony Saunders and Marica Millon Cornett, McGraw Hill International, Fifth Edition 2006 Bank Management, by Timothy W Koch and S. Scot Macdonald, Thomoson South Western (Indian reprint),2005 i
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Transcript of Commercial Bank Management
COMMERCIAL BANK MANAGEMENT
Quarter: December 2009- February 2010
Faculty M JayadevOffice 2-A Telephone Office 26993138 Residence
26993341e-mail jayadevm @iimb.ernet.in
Credits: 3 Session Duration: 90 minutes
Course Objectives: The primary thrust of the course is to provide understanding on financial management of commercial banks. The first part of the course emphasizes on functional aspects of commercial banking: liabilities management, credit management capital management, and, investment management. The global norms set by Basel committee and the policy guidelines suggested by the RBI will be combined with the discussion on functional aspects of commercial banking. The second part of the course is focused on risk management in commercial banks. This part is devoted to application of asset-liability management techniques, management of interest rate risk, interest rate swaps, modern aspects of credit risk management, credit derivatives, and operational risk management.
Reading Material: A copy of collection of readings and cases will be provided to each student
Reference books: Financial Institutions Management: A Risk Management Approach, Anthony
Saunders and Marica Millon Cornett, McGraw Hill International, Fifth Edition 2006
Bank Management, by Timothy W Koch and S. Scot Macdonald, Thomoson South Western (Indian reprint),2005
Bank Management: Text and Cases, George H Hempel and Donald G Simonson, Fifth edition, John Wiley and Sons, Inc, 1999
Commercial Bank Management, Peter S Rose, Irwin McGraw-Hill Publications
Scheme of Evaluation Assignment-I 10%Class participation 5%Assignment-II 25%Final test 60%
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Session Topic Study Material1 Financial System in India
Functions of Commercial BanksLegal and Regulatory EnvironmentBanking sector and emerging perspectives
Emerging Realities in Banking and Finance
2 Financial Statements of Commercial Banks: Analysis and Evaluation of Bank Performance
Analysis of Financial Statements of a Commercial Bank Case Study: HDFC Bank
3 Liquidity Risk – Static and Dynamic Liquidity Management, Management of Liabilities and CRRCost of Funds and Transfer Pricing
“Liquidity Management: A Practical Approach” from poly copyThe Net Cash Capital tool in Bank Liquidity Management
4 Credit management: Loan policy, loan characteristics and credit rating models
Read “ Internal Credit Rating Practices of Indian Banks”
5 Credit appraisal and assessment of fund and non-fund based requirements
Case study on “Bharat Lawn Movers Ltd”
6 Loan pricing and Loan accounting Exercises and case letsPrudential Norms on Income Recognition and Asset Classification
7 Management of NPAs: Corporate Debt Restructuring and Securitization
Case study
8 Capital Adequacy and Capital Management in Banks
9 Basel II: Structure and Imperatives Standardised ApproachInternal Ratings Based Approach
Basel II: The Route Ahead or Cul-de-Sac?
10&11 Investment Management in Banks Managing Fixed Income portfolio: Bond prices and interest rates, Duration and Convexity, Valuation of Investment portfolio Mark-to- Market valuation and issues
Exercises on Bond Dynamics
12 Asset-Liability ManagementInterest Rate Risk Management: Rate Sensitivity Gap AnalysisDuration Gap Analysis
1. ” Interest Rate Risk Management”
2. Risk Adjusted Performance Measurement and Capital Allocation
13 “Value at Risk”
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14 Interest Rate Swaps Exercise on pricing interest rate swapsCase study: Transformation of Dutch Pension Funds
15&16 & 17
Credit Risk Management Models: Altman’s Z-Score Model, Merton’s Option Pricing Model, JP Morgan’s Risk MetricsOverview on portfolio risk models
1. Predictive Power of Financial Risk Factors: An Empirical Analysis of Default Companies
2. Default Risk on Corporate Bonds
3. The estimation of PD using Merton’s option pricing approach
4. EDF case Study
18 Credit Derivatives Case study 19 Operational Risk Management “Operational Risk and Capital
Charge”
20 Review
Suggested web sites: 1. www.rbi.org.in 2. www.bis.org 3. www.fimmda.org 4. www.iciciresearchcentre.org 5. www.icicibank.com 6. www.debtonnet.com 7. www.nseindia.com 8. www.statebankofindia.com 9. www.bloomberg.com
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