Corporate banking 2020
This website is holds support material for a course in corporate banking, presented at New Economic School, Spring 2020.
Original course syllabus is here in PDF and here in HTML.
The site content evolves along with course progress. Parts of this content are in myNES system.
Online teaching
We migrate the course to online format, please consult the guidelines
Course progress
Completed:
- we reviewed several empirical articles that are based in proprietary loan datasets (HW 1)
- we looked at flow of funds statistics for higher level view on corporate financing (HW 2)
- we started building a simple representation of a bank balance sheet and P&L (minibank.xls, also in HW 2)
Upcoming:
- loan life cycle from origination to repayment (business process)
- includes loan pricing
- bank reports and statistics, we will use this to extend
minibank.xls- top30 banks, form 101/102
- individual bank reports, bank sector reports
- the nonfinancial company reports dataset
After that:
- Credit model classification (KMV, RiskMetrics, etc)
- Basel IRB approach
- Accounting-based default models (z-Score)
- DCF models for investment projects (invited lecture, to be confirmed)
'Softer' topics:
- ESG issues and green finance
- credit cycles
- project finance
- data requirements, automation
- accuulated questions
Deferred hoemwork (HW):
- IMF corporate sector risk assessment GFS-2019, corporate sector chapter, note also the annex to whole report with models
Final project
The course will result in final project that is under discussion. We shall cover parts of the project in current homeworks.
- contruct a hypothetical loan portfolio (LP) using real-life dataset of corporate reports
- bring more realism into
minibank.xls - bind the LP and
minibank.xls - add more detail or functionality as individual contribution by the student