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Financial Intermediation

Description

Prerequisites
No.
Objectives

The course aims at describing the structure of financial intermediaries, and in particular banks, and the tools to manage interest rate and credit risk.

Description / Program

We begin by defining the various types of financial intermediaries, their typical balance sheet and risks they face. We then describe models to quantify the amount of interest rate and liquidity risk that is typically faced by banks. We next turn to an analysis of models for quantifying credit risk. We outline the various approaches that are used by banks to measure the risk of their loan portfolios. We discuss how to manage these risks using credit derivatives and securitization, and their pricing.

Learning Method / Style of Lessons

Lectures will alternate between discussion of new theoretical material and exercise sessions.

Exam Style

Grading is based on an in-class, closed-book final and take-home assignments.
Requested Material
No.

Readings/Textbooks

Lecture notes will be made available on the course website. The recommended textbook for the course is “Financial Institution Management” by A. Saunders and M. Cornett

People

 

Plazzi A.

Course director

Gianinazzi V.

Assistant

Yilmaz U.

Assistant

Additional information

Semester
Spring
Academic year
2019-2020
ECTS
6
Language
English
Education
Master of Science in Economics and Communication in Financial Communication, Core course, Fundamental knowledges, 1st year

Master of Science in Economics in Finance, Core course, Minor in Quantitative Finance, 1st year

Master of Science in Economics in Finance, Core course, Minor in Banking and Finance, 1st year

Master of Science in Financial Technology and Computing, Elective course, Lecture, 1st year