FINA0055-1 : Advanced Topics in Banking and Insurance

Study Programmes 2015-2016

FINA0055-1

Advanced Topics in Banking and Insurance

Duration :

30h Th

Number of credits :

Master in management (120 ECTS)		5

Lecturer :

Fabien Boniver, Georges Hübner

Coordinator :

Georges Hübner

Language(s) of instruction :

English language

Organisation and examination :

Teaching in the second semester

Units courses prerequisite and corequisite :

Prerequisite or corequisite units are presented within each program

Course contents :

1. Partim Banking:
The course builds on the "Banking and Insurance" course or similar as prior knowledge.
The first part is dedicated to the application of concepts of interest rates, yield curve, maturity gap, net interest margin, interest-sensitive gap, duration (gap) and immunization, in the context of the general portfolio problem of the bank (asset-liability management, interest rate risk management, treasury management) and in the context of financial regulation. We also review interest-rate derivatives which can be used to manage/hedge interest rate risk. In the second part, we review the concepts of interest rates (again but with a focus on yield curve modeling) and credit spreads, the different theories on their term structure, and their impact on the banking activities. In the field of credit risk, we also address credit rating systems and several methods to measure default risk (probabilities of default, expected credit loss,...).
The third part reviews several methodologies to estimate expected returns on financial markets. We also examine how a bank's asset managers can optimize the allocation of portfolios, with a focus on the Black-Litterman Model.
The fourth part is dedicated to the economic analysis of financial crises, the recent banking and sovereign crises and the recent evolution of the banking sector after those crises. Banking and the management of financial institutions as well as their regulation are detailed, with a particular focus on monetary policy and the role of Central Banks during and after the financial crises (Comprehensive Assesment,...). One or several lectures with guest experts will be offered in this context.
2. Partim Insurance:
The partim builds on the same prior knowledge as the partim Banking. We go deeper in the understanding of some specialised topics that have a deep impact on the management of any insurance company nowadays:
- reinsurance: the insurance of insurers, and a capital management tool as well;
- fundamentals of stochastic finance and economic scenario generators: how and why mathematics changed economical and financial forecasting.

Learning outcomes of the course :

The course pursues three main objectives:
- Detailed and in-depth understanding of bank and insurance-related concepts.
- Application and appropriation of theoretical concepts during exercises sessions.
- Development of the ability to diagnose and criticize the technical and regulatory activities of a bank and an insurance company. Intended Key Learning Outcomes:
To strengthen knowledge and understanding of management disciplines and its legal, policy and social context;
Gaining the knowledge and understanding of one of the proposed fields of concentration;
Integrate autonomously researched information, tools, knowledge and context to build and propose, either individually or as part of a team, original, creative and viable solutions to concrete complex management problems, whether real or simulated, taking into account, when necessary, the human, social and legal context;
Ability to speak 2 foreign languages: C1 in English;
Developing a critical sense (arguing);
Developing a transversal, global vision;
Faced with a management problem, suggesting solutions that are ethical and socially responsible and that respect the principles of good governance.

Prerequisite knowledge and skills :

Introductory course of financial markets
Banking and Insurance
Financial Derivatives
Financial Mathematics

Planned learning activities and teaching methods :

Methodology used and level of estimated method:
A1 Ex-cathedra courses: theoretical sessions (preliminary review, introduction of theoretical concepts, illustrations, case studies...);
A2/A3 Exercises sessions on Excel and Matlab, practical issues (for example, the measurement and management of interest rate risk) are handled (with use of financial data providers). In the end, a practical group assignment has to be delivered by students and is graded.

Mode of delivery (face-to-face ; distance-learning) :

A1 Ex-cathedra courses: 6*4h = 24h
A1 Case resolution: 9h
A3 Exercises sessions: 2*3h
A3 Preparation of exercises and resolution of group assignment: 10h
Course study