AFF5280 Institutional asset and liability management - Semester 1, 2012

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

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

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

Feedback

Our feedback to You

• Graded assignments with comments

Your feedback to Us

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.

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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

Student services

Blackboard (MUSO)

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