AF6003 - Banking Risk 1

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What will I learn on this module?

In this module, you will learn and examine the banking risk faced by banks and financial institutions. This module takes you through the specific areas of credit and market risks within the context of the relevant regulatory framework (The Basel Accords) and draws on case study material provided by high profile banks and financial institution. You will be expected to develop an understanding of the nature of credit and market risks, its measurement models and management issues. The module will cover:
• A typology of risk in banking and financial institutions- definitions, types, and its importance. Discussion on certainty, risk and uncertainty.
• International banking regulation and capital adequacy
• The nature and significance of market risk
• Measuring market risk through Value-at-Risk (VaR) models (variance-covariance, historical simulation and Monte-Carlo simulation models), back-testing, stress-testing, bootstrapping, expected shortfall and other regulatory models.
• Market risk regulatory framework using the Basel Accords.
• Exchange rate risk and its implications in banking.
• Credit decision making and credit risk in consumer and industrial loans.
• Measuring credit risk through credit scoring models, credit VaR models (Creditmetrics, Creditrisk+).
• Credit risk regulatory framework using the Basel Accords.
• Counterparty Credit Risk (CCR) in derivatives and credit valuation adjustment (CVA).

How will I learn on this module?

You will be supported by a teaching and learning plan (TLP), which outlines the formal sessions, together with tutor-directed study and independent reading. The module will be taught through lectures (24 hours) and IT-based workshop based seminars (12 hours). The lectures are the primary medium used to deliver the basic knowledge input and subject material required to enable students to meet the module learning outcomes. Lectures will be research-led with a significant practical component attached to them. Workshop based seminars will be used to develop understanding and knowledge by reinforcing subject material and exploring relevant issues with material distributed in advance. It will involve individual and group work, presentations and discussion and will also be used to develop students' skills of discussion and analysis. The workshop based seminars will provide an opportunity for you and the teaching team to interact and discuss the materials with other students in diverse contexts from around the world. The emphasis will be on high levels of participation both individually and within small groups or teams. You can therefore expect the reflective-practitioner approach to learning to be embedded in the online workshops by undertaking activities that will allow you to apply the key concepts and principles to ‘real-life’ situations (i.e., actual cases), and critically analyse and make recommendations for policy prevention.

The module will involve both directed and independent learning. Directed learning plays a key part in the achievement of the module learning outcomes and provides an opportunity for self-assessment of your progress throughout the semester. Directed learning may include a range of activities including pre-reading, preparation for seminar activity, preparing for presentations etc. Independent learning is learning which you identify by pursuing areas of interest that provides deeper or broader knowledge of the subject, through a range of learning activities that might include reading, reflection and research. If you study the module on a distance learning programme you will engage in similar activities provided through the University eLearning portal, where contact with the tutors and other students will be facilitated through email and/or on-line discussion forums.
Formative assessment will take place through individual and group activities, assignment discussions, case study activities and theory/practice related discussions. The module will be supported by the use of e-learning portal. The assignment requirements will expect you to engage with a wide range of scholarly sources to evaluate their effectiveness and currency and subsequently communicate them in written format. This will be an individual written assignment as well as individual/group presentation covering the learning outcomes of the module. An assignment brief will cover the requirements as well as outlining the word limits and guidance on referencing that must be adhered to. Critical reflection on knowledge, experience and practice underpins the learning and teaching philosophy along with the explicit development of competence.

How will I be supported academically on this module?

You will be supported throughout by the module teaching team who are available to answer your questions either in person or by email/telephone. You are encouraged to contact a member of the tutor team for additional support and guidance as necessary throughout the course. Your module is supported by the e-learning portal, which includes lecture and seminar materials as well as additional material for independent study. Your lectures will be recorded and uploaded to the e-learning portal which you will be able to access to consolidate your knowledge and develop understanding. Your electronic reading list includes core material to support your lectures/seminars and a comprehensive range of professional accounting reports/articles and academic journal articles relevant to your studies. Further, if you study on a distance learning programme, such activities will be facilitated electronically via the University eLearning Portal. This will include materials enhanced using technology which enables the tutors to provide supportive audio commentary.

What will I be expected to read on this module?

All modules at Northumbria include a range of reading materials that students are expected to engage with. The reading list for this module can be found at: http://readinglists.northumbria.ac.uk
(Reading List service online guide for academic staff this containing contact details for the Reading List team – http://library.northumbria.ac.uk/readinglists)

What will I be expected to achieve?

At the end of the module, you will have:
Knowledge & Understanding:
• Develop knowledge and understanding of banking credit and market risks. [MLO1]
• Critically evaluate the measurement models and the management issues in the context of the regulatory requirements within the banking and finance sector. [MLO2]

Intellectual / Professional skills & abilities:
• You will develop the quantitative as well as qualitative skills while measuring and managing the credit and market risks. [MLO3]

Personal Values Attributes:
• You will be made aware of the risk facing international financial markets and how you can equip management with the knowledge and expertise to implement stronger organisational controls to address these risks. [MLO4]

How will I be assessed?

Formative Assessment:
Formative assessment will take place through individual and group work on directed questions/case study at the end of each substantive area covered in the module. There will be a discussion of these substantive areas in the seminars after each lecture so that you can obtain direct feedback on any questions you may have on the module content and the assigned tasks.

Summative Assessment:
The module is assessed by:
For Full-time:
1. A group presentation on contemporary issues in risk management to be presented during the term time. [ MLO3]
2. A 3,000 word assignment submitted at the end of the semester assessment period (80%). [MLO1,2,3,4]
3.
For Distance Learning:
1. An individual presentation on contemporary issues in risk management to be recorded (maximum time 10 minutes) and submitted along with the assignment (20%).[MLO3]

2. A 3,000 word assignment submitted at the end of the semester assessment period (80%). [MLO1,2,3,4]

Pre-requisite(s)

None

Co-requisite(s)

None

Module abstract

The banking and financial services industry operates in a risk structured environment. The business is about the measurement, management and transfer of risk. It focuses on the specific areas of credit and market risk within the context of the relevant regulatory framework and draws on case study material provided by high profile banking and financial institutions. The module is delivered through lectures and workshop based seminars. The workshop based seminars are used to reinforce both lectures and directed learning. As such, the workshop based seminars will involve individual and group work, presentations and discussion and will also be used to develop students’ skills of discussion and analysis. The module is assessed by a 3,000 word assignment and a group or individual presentation on contemporary issues in risk management plus a reflective statement.

Course info

UCAS Code N390

Credits 20

Level of Study Undergraduate

Mode of Study 3 years full-time or 4 years with a placement (sandwich)/study abroad

Department Newcastle Business School

Location City Campus, Northumbria University

City Newcastle

Start September 2020

Fee Information

Module Information

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