BFF5280 · Institutional asset and liability management

Overview

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.

Offerings

Assessment

The Handbook does not list a final examination among the assessment items. That is not a guarantee there is none.

Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.

Requisites

Learning outcomes

1. examine regulatory measures taken by Reserve Bank of Australia (RBA), Australian Prudential Regulation Authority (APRA) and Bank for International Settlements (BIS) for improving bank risk management
2. develop critical skills in applying the BIS standardised and internal capital models utilised for assessing banks’ regulatory risk
3. reconcile theory and bank practice in the areas of interest rate risk, market risk, loan risk, loan portfolio risk, foreign exchange risk, liquidity risk and risks associated with financial derivatives
4. demonstrate in an individual summative assessment task the acquisition of a comprehensive understanding of the topics covered in BFF5280.

Workload

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.

Student experience, not official rules. Nothing here changes what the Handbook says.