ALM, Risk Management and International Banking Regulation

strategic Bank management objectives; core bank processes; fundamental mechanisms to manage risk (avoidance, pricing, reduction by diversification, hedging); risk adjusted performance measures RAPM (e.g. Rorac, Raroc, Rarorac, etc.): advantages, disadvantages and problems associated with the measurement of RAPM; definition and function of different types of capital: Tier 1, 2 and 3 capital, regulatory capital vs. Economic capital; definition, motivation and methods of economic capital allocation (budgeting, internal capital market, etc.); limit systems in banks; organisation of the risk management department and ist integration in the total system of a bank (single bank perspective and group perspective); reporting systems; regulatory aspects for risk management (pillar 2 of Basel II, especially ICAAP, disclosure rules according to pillar 3 of Basel II and according to IFRS); new regulatory aspects concerning Basel III

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

Choudry, M., 2007, Bank Asset and Liability Management, Wiley & Sons Hempel, G., 1999, Bank Management: Text and Cases, Wiley & Sons Journal of Banking and Finance

Voraussetzungen laut Lehrplan

None

Schnellinfos

Studiengang

International Banking and Finance (Master)

Akademischer Grad

Master

ECTS Credits

4.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2020

Semester in dem die Lehrveranstaltung angeboten wird

1 WS

Incoming

Ja

Lernergebnisse der Lehrveranstaltung

After this lecture students are able to decompose strategic objectives into sub-objectives and apply strategic methods and instruments of a risk-oriented integrated bank management and controlling in an international business environment. In particular, they are able to analyze advantages and disadvantages of the various risk adjusted performance measures (RAPM). Furthermore the students can connect the mechanisms of economic capital allocation. They are also able to set up a bank-wide limit system.

Kennzahl der Lehrveranstaltung

0230-17-01-BB-EN-07