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AFF5280 Institutional asset and liability management - Semester 1, 2012

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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.

Mode of Delivery

Caulfield (Day)

Workload

This is a six credit point unit with three hours class contact per week over 12 teaching weeks. Students should plan to spend on average nine hours in self-directed study, in addition to the three hours of class contact, each week.

Unit Relationships

Co-requisites

Students must be enrolled in course 0504, 2619, 3189, 3818, 3850 or 4412 to undertake this unit.

Chief Examiner

Mohammad Hoque

Campus Lecturer

Caulfield

Dr Mohammad Ziaul Hoque
Campus: Caulfield
Phone: +61 3 990 31786
Email: Mohammad.Hoque@monash.edu
Contact hours: PLEASE PROVIDE INFORMATION BEFORE SUBMITTING

Academic Overview

Learning Objectives

The learning goals associated with this unit are to:
  1. 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
  2. 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
  3. 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
  4. develop writing and presentation skills by requiring the submission of group assignments relating to existing practices followed by the banks
  5. develop an ability to work independently by requiring presentation of tutorials answers relating to risk management by the financial institutions
  6. demonstrate in an individual summative assessment task the acquisition of a comprehensive understanding of the topics covered by AFF5280.

Graduate Attributes

Monash prepares its graduates to be:
  1. responsible and effective global citizens who:
    1. engage in an internationalised world
    2. exhibit cross-cultural competence
    3. demonstrate ethical values
  2. critical and creative scholars who:
    1. produce innovative solutions to problems
    2. apply research skills to a range of challenges
    3. communicate perceptively and effectively

Assessment Summary

Hurdle Requirements

There is a hurdle requirement in this unit.

The learning outcomes in this unit require students to demonstrate in the individual summative assessment task a comprehensive understanding of the topics covered in the unit. This is demonstrated by the requirement that the student must attain a mark of at least 50% in the final summative assessment task (ie. the final examination).

A student's final mark is normally the sum of the marks obtained in all of the individual assessment items in the unit. Where a student fails the unit solely because of failure to satisfy the hurdle requirement, a mark of 48 will be returned for the unit.

Second marking

Where an assessment task is given a fail grade by an examiner, that piece of work will be marked again by a second examiner who will independently evaluate the work, and consult with the first marker. No student will be awarded a fail grade for an assessment task or unit without a second examiner confirming the result.

Note: Exceptions to this are individual pieces of assessment contributing 10% or less of the final mark, unless the total of such pieces exceeds 30% of the final mark.

Return of final marks

Faculty policy states that 'the final mark that a student receives for a unit will be determined by the Board of Examiners on the recommendation of the Chief Examiner taking into account all aspects of assessment'.

The final mark for this unit will be released by the Board of Examiners on the date nominated in the Faculty Calendar. Student results will be accessible through the my.monash portal.

Exam viewing

Feedback on student performance in examinations and other end-of-semester assessment is required, in accordance with the University procedures on Unit Assessment.  For more information, please see the following URL: http://www.buseco.monash.edu.au/aaf/student/exam-view/index.html.

Assessment criteria

Assessment Criteria Grading Descriptors available at:
http://www.buseco.monash.edu.au/esg/agu/policies/assessment.html.

Assessment Task Value Due Date
Group Assignment 15% 5.00pm, Friday 20 April 2012
Class Test - Multiple Choice Questions 25% Wednesday 16 May 2012
Tutorial Presentation 5% From week 2
Class participation 5% Continuous
Examination 1 50% To be advised

Teaching Approach

The learning and teaching approach for this unit requires attendance and participation at all classes for 12 weeks.  The format of the class contact hours will include lectures, tutorials,  team projects, and team presentations.

Feedback

Our feedback to You

Types of feedback you can expect to receive in this unit are:
  • Graded assignments with comments

Your feedback to Us

Monash is committed to excellence in education and regularly seeks feedback from students, employers and staff. One of the key formal ways students have to provide feedback is through SETU, Student Evaluation of Teacher and Unit. The University's student evaluation policy requires that every unit is evaluated each year. Students are strongly encouraged to complete the surveys. The feedback is anonymous and provides the Faculty with evidence of aspects that students are satisfied and areas for improvement.

For more information on Monash's educational strategy, and on student evaluations, see:
http://www.monash.edu.au/about/monash-directions/directions.html
http://www.policy.monash.edu/policy-bank/academic/education/quality/student-evaluation-policy.html

Previous Student Evaluations of this unit

Student feedback has highlighted that “ the unit is intellectually stimulating “. However, some students were not happy  with teaching resources. In response, more teaching resources are provided during  the current semester.

.

If you wish to view how previous students rated this unit, please go to
https://emuapps.monash.edu.au/unitevaluations/index.jsp

Required Resources

Bessis, J. (2002). Risk management in banking (2nd ed.). John Wiley & Sons Ltd.

Saunders, A., & Cornett, M. M. (2006). Financial institutions management: A risk management approach. McGraw-Hill.

Recommended Resources

Hogan et al. ( 2004). Management of financial institutions. Wiley.

Sathye, M., Bartle, J., Vincent, M., & Boffey, R. (2003). Credit analysis & lending management. Wiley.

Unit Schedule

Week Activities Assessment
0 Prientation week No formal assessment or activities are undertaken in week 0
1 Overview of institutional asset and liability management  
2 Problem assets (loans) management  
3 Securitization, CDOs, Risk Management and CAT Bond  
4 Interest rate risks, repricing model and gap model  
5 Liquidity risk and financing gap  
6 Credit risks, discriminant analysis model and RAROC Model  
7 Assets risk and VAR model Assignment due Friday 20 April
8 Operation risk  
9 Asset and liability risks:Regulatory Perspectives  
10 Asset and liability management: International perspectives  
11 Liability management Class Test Wednesday 16 May
12 Risk management processes and models and review of the previous lectures and tutorial questions  
  SWOT VAC No formal assessment is undertaken SWOT VAC
  Examination period LINK to Assessment Policy: http://policy.monash.edu.au/policy-bank/
academic/education/assessment/
assessment-in-coursework-policy.html

Assessment Requirements

Assessment Tasks

Participation

This is a group assignment  and no more than three students can form a group. Group formation must be completed within 1 week and any student failing to form the group within 1st week shall do individual  assignemnt

  • Assessment task 1

    Title:
    Group Assignment
    Due date:
    5.00pm, Friday 20 April 2012
    Details of task:
    To be provided
    Word limit:
    4000 words
    Weighting/Value:
    15%
    Estimated return date:
    Marks will be made available to students on the unit Blackboard site after tutorials in Week 12.
    Criteria for marking:
    Criteria for assessment:

    Assessment of written work will be based on the following:
    1. Depth and quality of research (4 marks)
    2. Depth and quality of analysis (4 marks)
    3. Degree of  contribution to the body of knowledge (5 marks)
    4. Professional presentation (2 marks)
    Accurate spelling, correct grammar and punctuation and proper footnoting should be used.  All references should be cited in a bibliography in a separate page. You should also include a letter of transmittal, an executive summary and a contents page.
    Learning objectives assessed:
    Learning objectives 3  and 4
    Submission details:
    Assignments should be submitted via the personal letter box of the Lecturer ( Dr. Mohammad Hoque) at Department of Accounting and Finance, Building H, Level 3. Caulfield campus
    Penalties for late lodgement:
    25% mark per day will deducted for  late submission
    Additional information:
    Students  can collect their assignments within a week after last week of lecture. Uncollected assignments will be destroyed after this deadline
  • Assessment task 2

    Title:
    Class Test - Multiple Choice Questions
    Due date:
    Wednesday 16 May 2012
    Details of task:
    50 Multiple questions will be provided to answer within 60 minutes
    Weighting/Value:
    25%
    Estimated return date:
    Week 12
    Learning objectives assessed:
    Learning objectives  1-5
    Assessment coversheet:
    Work submitted for assessment MUST be accompanied by a completed and signed assignment coversheet, available at URL: http://www.buseco.monash.edu.au/student/forms/assessment-coversheet.doc.  In the case of group assessment, each member of the group must complete and sign a separate assignment coversheet.

    Electronic submission will NOT be accepted.
  • Assessment task 3

    Title:
    Tutorial Presentation
    Due date:
    From week 2
    Details of task:
    Presentation questions will be distributed on week 1  through a lottery.

     
    Weighting/Value:
    5%
    Presentation requirements:
    This is group presentation. The assignment group members will be treated as tutorial group members. Two group members will present the answers through power point slides and another group member will take questions from the floor
    Estimated return date:
    Week 12
    Criteria for marking:
    Criteria for assessment:
    1. Quality of professional presentation (1marks)
    2. Depth and quality of answer, discussion and analysis (2 marks)
    Degree of  appropriateness of the answers of the questions (2 marks
    Learning objectives assessed:
    Learning Outcome 1-5
  • Assessment task 4

    Title:
    Class participation
    Due date:
    Continuous
    Details of task:
    Students must be present to ask at least three questions and provide comments on presentation by other students and the name of the participating students will be recorded.
    Weighting/Value:
    5%
    Estimated return date:
    Marks will be made available to students on the unit Blackboard site after tutorials in Week 12.
    Criteria for marking:
    Marks will be awarded on the basis of  the quality of the questions asked or comments made. The students must be present in the class and get actively involved in asking questions and providing quality comments on the topic presented
    Learning objectives assessed:
    PLEASE PROVIDE INFORMATION BEFORE SUBMITTING

Examinations

  • Examination 1
    Weighting:
    50%
    Length:
    3 hours
    Type (open/closed book):
    Closed book
    Electronic devices allowed in the exam:
    None
    Remarks:
    The final examination will be closed book.  Past papers will be made available via Blackboard for revision.

Assignment submission

Online submission

If Electronic Submission has been approved for your unit, please submit your work via the VLE site for this unit, which you can access via links in the my.monash portal.

Other Information

Policies

Monash has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University's academic standards, and to provide advice on how they might uphold them. You can find Monash's Education Policies at: http://policy.monash.edu.au/policy-bank/academic/education/index.html

Key educational policies include:

Student services

The University provides many different kinds of support services for you. Contact your tutor if you need advice and see the range of services available at www.monash.edu.au/students

The Monash University Library provides a range of services and resources that enable you to save time and be more effective in your learning and research. Go to http://www.lib.monash.edu.au or the library tab in my.monash portal for more information.

Students who have a disability or medical condition are welcome to contact the Disability Liaison Unit to discuss academic support services. Disability Liaison Officers (DLOs) visit all Victorian campuses on a regular basis

Blackboard (MUSO)

All unit and lecture materials, plus other information of importance to students, are available through the MUSO (Monash University Studies Online) site. You can access MUSO via the My.Monash Portal: http://my.monash.edu.au

You can contact MUSO Support by:
Jobdesk: http://jobdesk.monash.edu.au/login/index.cfm?jobdesk_id=14
Email: muso.support@calt.monash.edu.au
Phone: (+61 3) 9903-1268

Further information can be obtained from the following site http://www.monash.edu.au/muso/support/index.html

Prescribed text(s) and readings

Bessis, J. (2002). Risk management in banking (2nd ed.). New York, NY: Wiley.

Saunders, A., & Cornett, M.M. (2006). Financial institutions management: A risk management approach. Boston, MA: McGraw-Hill.

Recommended text(s) and readings

For further recommended reading see the AFF 5280 Reading List on Blackboard or via the Library at URL: (accessible from the Library webpage) or black board