Ateneo - UPO

There are two modules
1.0 Treasury
1.1 Treasury in a nutshell
1.2 Interest rate Risk, Rotation Risk and Basis Risk
1.3 Prepayment Risk, mortgages convexity and behavioural modeling
1.4 Instruments for managing IRR
1.5 Bloomberg functions

2.0 Bank Finance:
2.1 Promise of return on equity to shareholders
2.2 Focus on some activities to manage return on equity and costs
2.3 some hints about “shareholders promise on cost management”

Teaching materials prepared by the instructors and published on the course web site (www.dir.uniupo.it).

At the end of the course, students will be able to
Understand the role of treasury within a bank and main concept of interest rate management. Bloomberg functions utilisation.
Evaluate profitability of a european bank and be able to analyze main drivers.

Financial Mathematics, Financial Statement Analysis, Derivatives

Lectures including theory and practical cases, excel spreadsheets

Students with physical disabilities, Learning Disabilities or Special Education Needs can request specific services and tools via the Staff Sviluppo e Coordinamento Carriere e Servizi alle Studentesse e agli Studenti, consulting the University webpage: https://www.uniupo.it/en/services/servicesstudents-physical-or-learning-disabilities Students with disabilities, learning disabilities or special education needs, once they have contacted the University Staff, can refer to the tutor in charge of the course to define the examination modalities.

Written test to be done in autonomy

Bank Finance: Statement analysis of European bank and profitability controls as explained during course

1.0 Treasury
1.1 Treasury in a nutshell; role and responsibilities of bank treasury, “bank in the bank” concept of treasury
1.2 Interest rate risk, rotation risk, basis risk; IRR measurement (BPV), asset and liabilities replication, rotation risk, basis risk
1.3 Prepayment risk, convexity risk in mortgages, behavioral modeling and replication; practical examples. Mortgages prepayment impact on asset profitability; fund entrusted modelisation.

1.4 instrument for IRM; Swap, FRA, basis swap
1.5 Bloomberg functions

2.0 Bank Finance:
2.1 Promise of return on equity to shareholders

Bank profitability in a nutshell and trade off bank profitability on a beer card). Analysis and comparison between main European banks.

2.2 Focus on some activities to manage return on equity and costs
Overall Budget process
From interest rate margin to product profitability
Product/channel profitability analysis and pricing of on balance products

2.3 some hints about “shareholders promise on cost management”
The purchase to pay process: from pay the cost to represent the cost in financial statement

On successful completion of this module, you will be expected to be able to:
• Understand treasury role within a bank together with main instruments for interest rate risk management; Bloomberg functions.
• Understand main factors which determine bank profitability of European bank, be able to compare different institutions, understand relation between risk and return, understand the budget process of a universal bank.