risk types within banks; 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;methods for and problems associated with aggregation and disaggregation of risk;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;basics of a risk-oriented pricing;organisation of the risk management department and its 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 III/IV, especially ICAAP, disclosure rules according to pillar 3 of Basel III/IV and according to IFRS);definition and role of the Asset and Liability Management ALM; control of the short-term and structural liquidity of a bank; control of the interest rate risk in the banking book and for the whole bank; management of structural FX positions; management of the bank's equity capital.
Quantitative Asset and Risk Management (Master)
Studienjahr, in dem die Lerneinheit angeboten wird
Semester in dem die Lehrveranstaltung angeboten wird
Lernergebnisse der Lehrveranstaltung
The alumni are aware of the necessity, the objectives and the instruments of a risk-oriented integrated bank management. Particularly, they know about the advantages and disadvantages of the various risk adjusted performance measures (RAPM), know the different definitions of equity capital in the context of bank management and have a good understanding of the problems and mechanisms of economic capital allocation. They know how to set up a bank-wide limit system and have a good command of the methods and concepts of asset and liability management (ALM) in banks. Further, they are familiar with the concepts of risk-oriented pricing on a bank-wide basis and also for single risk types.The alumni know how to control risk of single instruments and portfolios by means of derivative instruments; they know the relevant regulations of the international financial reporting standards (IFRS) and can conduct performance and attribution analyses and set up reporting systems for the various asset. Alumni working on case studies and can therefore communicate their rationale and conclusions clearly and unambiguously to specialist and non-specialist audiences. Alumni prepare a supervisory report including a management summary and conclusion to evaluate different options for action to facilitate executive level decision-making. During class they learn the ability to work in international teams and to interact constructively with others regardless of background and culture.
Kennzahl der Lehrveranstaltung