Gapearnings sensitivity analysis duration gap market

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GAP/Earnings Sensitivity Analysis Duration GAP Market Risk Equity and Security Price Risk Foreign Exchange Risk 31
Quiz #6 Which type of risk is the most difficult to quantify ?
Answer: 32
Operational Risk Business Interruptions, Transaction Processing, Inadequate Information Systems, Breaches in Internal Controls, Client Liability Legal Risk Reputation Risk Capital or Solvency Risk Liabilities > Assets Off-Balance Sheet Risk 33
3.8 Evaluating bank performance: an application Profitability Analysis for PNC in 2007 Next few slides Please attempt before class ! This is also the tute Q for the week ! 34
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3.9 Financial statement manipulation Off-Balance Sheet Activities Window Dressing Preferred Stock Non-Performing Loans Allowance for Loan Losses Securities Gains and Losses Non-Recurring Extraordinary Items 40
3.10 Summary Return on Equity Model Profitability analysis Risk analysis Interpretation Case studies 41
3.11 Tutorial questions Download Westpac 2014 audited financial statements from https:// pdf/aw/ic/2014WestpacGroupAnnualReport.pdf Conduct profitability analysis of the bank by filling in the Ratio Analysis Template. Questions 10, 11, 15 pp.145-146 of the Koch textbook 42
Next lecture…. 43 Week Beginning Topic Lecture Content Learning Outcomes Workshop Topics Readings Assessment 1 27 Feb 1 Why are Financial Institutions Special and Depository Institutions 1, 2 Lange et al Chapter 1, 2 2 6 Mar 2 Other Types of FIs and Risks of FIs 1, 2 1 Lange et al Chapters 3, 4 3 13 Mar 3 Analysing Bank Performance 3 2 Supplementary on [email protected] 4 20 Mar 4 Interest Rate Risk: Duration Model 4, 6 3 Lange et al Chapter 6 5 27 Mar 5 Interest Rate Risk: Repricing Model and Off-BS 4 4 Lange et al Chapters 5, 7 6 3 Apr 6 Liquidity Risk 7 5 Lange et al Chapters 14 Assignment 10 Apr Mid Semester Break 7 17Apr Mid-semester test Mid-semester test 8 24Apr 7 Managing Liabilities and Liquidity 7, 8 6 Lange et al Chapters 15 9 1 May 8 Managing Credit Risk 5 7 Lange et al Chapters 10, 11 10 8 May 9 Managing Off-balance Sheet Activities 9 8 Lange et al Chapter 16 11 15 May 10 Managing Capital Risk 10 9 Lange et al Chapter 18 12 22 May Final Exam Review (Lecture) 10

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