A. Knowledge and Understanding:
• Why banks are different
• Banking risks
• Bank financial statements
• Bank regulation
• Concepts of solvency and liquidity in banking
• Banking strategies and creation of value
• Integrated risk management within financial institutions
• The use of derivatives for hedging and leveraging of banking risks
• Credit risk evaluation and pricing
• Interest rate risk measurement and management
• Bank capital requirements (economic and regulatory) and management
• Why things go wrong in banking and what to do about it
B. Subject-Specific Skills:
• Analysis of banking companies and markets
• Analysis and evaluation of banking risks
• Measuring and managing interest-rate risk
• Operational risk measurement and management
• Performance analysis of banking activities using a risk-return framework
• Credit risk evaluation and analysis
• Pricing credit risk
C. General Skills:
• Discussion skills
• Analysis of companies and industries.

General characterization





Responsible teacher

Gonçalo Leónidas Ferreira da Rocha


Weekly - Available soon

Total - Available soon

Teaching language





Saunders and Cornett (SC) - Financial Institutions Management: a risk-management approach, 8th ed, McGraw-Hill, 2013.

Teaching method

This course combines theoretical lectures with practical exercises and discussion of real-life case-studies.
In class, we will have, for each 3-hour session: • Some book or newspaper article commented • Theoretical lecture with
topics for discussion Attend classes and actively participate in discussions • Read and prepare the assigned literature for
each class • Participate in round-table discussions • Devote to home-study about 2 hours per class • Answer the short
assignments on intranet (2-3 questions per week, multiple choice)

Evaluation method

Students’ final grade will be based on the following: Group (4 people per team) reports of the assigned case-studies: 40%,
Report presentations and class participation: 20%, Final Exam 40%

Subject matter

1a• What is a Bank •Why there are banks •Banking functions 1b •Money and prices •Types of banks and other financial
institutions 2a : Solvency and Liquidity • Financial statements • Capital and Reserves • Central Banking • How system works
2b The bank of products and the bank of clients • Customer Relationship Management • Bank lending relationships • Where
banks make money • Determinants of value • M&A 3a ;Banking Business • Various banking risks • ALM and ALCO • Using
derivatives to shape risks 3b): Measuring and Managing Risks • Tools to evaluate risks • The concept of VaR • Stress Testing
4a :Credit Risk • PD, LGD, EAD • Pricing and Methods • Portfolio Approach • Hedging with Credit Default Swap 4b : Interest
Rate Risk • Maturity Gap Model • Duration Gap Model • Swaps and Forwards 5a: Operational Risk • Frequency and Severity •
Risk Tolerance Matrix 5b ): Bank Crisis • Credit crunch • Bank runs • Lender of Last Resort 6a : Regulation • Banking Union
6b : Future of Banking.


Programs where the course is taught: