AFF5280 - Institutional asset and liability management

Offered

Caulfield Second semester 2009 (Day)
Caulfield Second semester 2009 (Evening)
Caulfield Summer semester B 2009 (On-campus block of classes)

Synopsis

Topics include managing interest rate risk; foreign exchange risk; liquidity risk and the cash flow cycle; credit risk; capital risk; debt and investment risk and managing the risk of derivative products.

Objectives

The learning goals associated with this unit are to:

• develop critical skills in understanding, analysing and applying concepts and models such as VAR Model, RAROC Model, Z-score etc. which provide assistance for managing bank's assets and liability risks
• develop an understanding of the application of regulatory measures taken by Reserve bank of Australia , APRA and BIS for improvement of risk management in the banking industry
• explain the link between theory and real world situation in the areas of market risk, interest rate risks, foreign exchange risks, credit risks, liquidity risks and operation risk faced by banks
• develop writing and presentation skills by requiring the submission of group assignments relating to existing practices followed by the banks
• develop an ability to work independently by requiring presentation of tutorials answers relating to risk management by the financial institutions.

Assessment

Within semester assessment: 50%
Examination (3 hours): 50%

Contact hours

3 hours per week

Co-requisites

Students must be enrolled in course 0504, 2619, 3189, 3818 or 3850 to undertake this unit.