Financial Intermediation

About the course

Subjects

Statistics Quantitative methods Finance

The course develops a deep understanding of banking. The course covers the following topics:

Balance sheets and financial risks of banks
The role of banks in the economy
Bank funding
Bank risk management
Banking regulation
Systemic risk in the banking system
Securitization, shadow banking
Central banks, payment systems, and monetary policy instruments
The contingent claims approach to pricing debt, equity, and hybrid securities
The Vasicek model of loan portfolios and the large homogeneous portfolio approximation. Application in regulation and securitization.
Bank cost of capital and the Modigliani-Miller propositions
Capital allocation

Excel is used throughout the course wherever relevant

The course introduces students to financial intermediation with focus on banking. The goals are

to understand the business model of a bank, including the composition of assets and liabilities, the sources of earnings, the associated risks, and how banks are regulated.
to apply relevant pricing models for analyzing risk and return of instruments like bank equity, bank debt, hybrid instruments, loans and loan portfolios.
to understand the role of banks in domestic and international payment systems, and the role of banks in monetary policy implementation.

Level

Master

Type

Mandatory course

ECTS

7.5

Code

CFIAO1006U

Teaching periods

Spring – 3rd quarter

Academic year

2024/2025

Status

Available places

Teaching language

English

Teaching Format

On campus

Exams

Assessment type