7/31/2019 Course Outline TALM 2011-12

1/2

MDI PGP 2010-12

Term VI

TALM Course outline

Post Graduate Programme in Management (2010-12)(Term VI Elective) Treasury and Asset Liability Management

Course Outline

Financial assets are acquired as part of regulatory requirements, as incommercial banks, or they may have been acquired as investments orTrading Assets. This activity of the bank or financial companies has a criticalbearing on the bottom-line and is done by the Treasury. Efficientmanagement of this portfolio has become critical. The first part of this coursediscusses trading activity of banks.

The second part of the course is about Asset Liability Management.

Banking is an enterprise which deliberately takes on mismatches and othersuch risks to earn money. Assets and Liabilities have, therefore, to be activelymanaged. Banks have to estimate the risk carried on the balance sheet, workout how the value of the balance sheet would change in response to changesin the interest rate etc, determining what mix of assets and liabilities would bebeneficial and how to go about achieving this mix.

Learning Outcomes

Treasury operations:

Factors important to a trader / dealer , their estimation

Interest rate scenario in India

Set up and working of a Treasury

Profit opportunities in treasury operations

Strategies adopted by dealers/traders

Risks and risk management in tradingAsset Liability Management

Measurement of risk associated with a banks balance sheet

Risk management strategies

Liquidity risk management

Interest rate risk management

Use of derivatives in ALM

RBI guidelines and requirements

PedagogyAs the course will be oriented towards practical aspects, learning would

be mainly through discussions and debates.

Faculty :Prof N.R.Bhusnurmath bhusnurmath@mdi.ac.in,

Tele Extn : 174 , (M) 98 100 97 448 Room No B-8 ,

mailto:bhusnurmath@mdi.ac.inmailto:bhusnurmath@mdi.ac.in

7/31/2019 Course Outline TALM 2011-12

2/2

MDI PGP 2010-12

Term VI

TALM Course outline

Readings /References:

Readings specific to each session will be given. In addition to that,for further reading, the following books are recommended.

1. Risk Management in Banking Joel Bessis John Wiley & Sons Ltd2. Hand Book of Asset Liability Management Edited by FJ Fabozzi, AKonishi3. Managing Bank Assets & Liabilities Edited by Prof JSG Wilson Euromoney Publications (1998)4. Finance pages of all business papers5. Market reports on mecklai.com , debtonnetindia.com, pnbgilts.com

Session Topic Learning ObjectivesPedagogy &

Readings

1

Functions of a

Treasury

Front Office

Mid-OfficeBack-Office

Operational Risk in a Treasury

Case StudyReading 1

Market reports

2Interest Rate Scenario

in India

Factors influencing interestrates

Discussions & Debate

Readings 2

3 Money Markets

Call Money MarketsT BillsCBLO

Case Study

Readings 3

4 Bond MarketsG-Secs Market Case Study

Readings 4

5Foreign ExchangeMarket

Market & Market conventionsMerchant RatesForex Trading in India

Case Study

Readings 5

6Derivatives in

Treasury

Use of Derivatives for hedging

& trading

Marketing of Derivatives

Discussions

Readings 6

7Risks on a banksBalance Sheet

Measurement of RisksBank-BookTreasury Book

Discussions

Readings 7

8 Liquidity RiskMeasurement

Use of derivatives

Case Study

Readings 8

9 Interest Rate RiskMeasurement

Use of derivatives

Case Study

Readings 9

10 Inter Bank Markets Issues & Challenges Guest Faculty

Evaluation :Quizzes 4*10 40 %

End Term 50 %Class Participation 10 %