Ateneo - UPO

1. Principles of bank finance and treasury; 2. Bank treasury; 3. Net interest margin; 4. Bank profitability and product profitability

Teaching materials prepared by the instructors and published on the course web site on Moodle UniUpo

Upon completion of the course, students should be able to: 1. Understand the role of the treasury within a bank. 2. Understand the concept of net interest margin and the usage of the FTP (Funds Transfer Pricing) curve. 3. Assess a bank's profitability and analyze its main components at a high level. 4. Assess product profitability and analyze its main components at a high level.

Financial Mathematics, Financial Statement Analysis, Derivatives

Lectures (in presence and remote) 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.

Final written exam to be completed in pairs; multiple-choice questions, a practical treasury case study, and profitability analysis of the bank and/or product.

1. Principles of bank finance and treasury; a. banking business; b. financial benchmarks; c. interest rate swaps; d. yield curve e. financial risks
2. Bank Treasury; a. treasury in a nutshell; b. banking business and treasury role; c. interest rate risk and related measure; d. basis risk and related measure; e. hedge accounting; f. behavioural modeling; g. asset and liability management; h. investment portfolio
3. Net interest margin; a. net interest margin per balance sheet side and per product with and without bank treasury; b. FTP (Fund Transfer Pricing) curve
4. Bank profitability and product profitability; a. bank profitability and main KPI; b. bank profitability with real life examples; c. product profitability

Successful completion of the course will enable the student to: understand the role of the treasury within a bank and the key concepts of financial risk management; understand net interest income, the principles of Asset-Liability Management (ALM) and the Fund Transfer Pricing (FTP) curve; understand the main drivers of bank profitability and how to compare the results of different institutions; and understand key risk-return relationships and product-level profitability.