Operational Risk for Banks

Types of OpRisk and delimitation problems to other types of risk; historical examples for OpRisk; construction and collection of loss-data-bases; quantitative and qualitative methods to analyse OpRisk: loss data-bases, early warning indicators, risk assessment, and scenario analysis; Estimation of the OpVaR, back and stress testing; Management of OpRisk: Acceptance versus organisational action: fraud management, insurance of risks, outsourcing, emergency plans; Reporting, limits, pricing, and allocation of economic capital for OpRisk; Organisational aspects for OpRisk; Regulatory aspects for OpRisk (Minimum capital requirements for OpRisk according to Basel III/IV and minimum standards for the different approaches)

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

Crouhy, M., Galai, D., Mark, R, 2001, The Essentials of Risk Management, Second Edition, 2014, Risk Management and Financial Institutions, Prentice Hall/Euromoney 2018,
Ariane Chapelle, Operational Risk Management: Best Practices in the Financial Services Industry (Wiley Finance), 2019

Lern- und Lehrmethode

Interactive teaching (lecture, peer feedback and discussion on team-exercises, using a case study to apply the knowledge acquired in class).

Prüfungsmethode

The continuous assessment for this course rests on group work and discussion in class (30 points).
Students can achieve up to 70 points for the preparation of a written supervisory report including conclusion to evaluate different options for action to facilitate executive level decision-making.

Voraussetzungen laut Lehrplan

Courses MOMR20, MOCR20

Schnellinfos

Studiengang

Quantitative Asset and Risk Management (Master)

Akademischer Grad

Master

ECTS Credits

2.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2023

Semester in dem die Lehrveranstaltung angeboten wird

3 WS

Incoming

Lernergebnisse der Lehrveranstaltung

The alumni are able to construct a loss-data base which is essential for the estimation of operational risk. They are able to develop quantitative and qualitative methods to analyze OpRisk and deduct appropriate measures. The almuni are able to control operational risk (e.g. fraud) accordingly. Additionally, they are familiar with the financial regulations like Basel III/IV and IFRS in the field of operational risk and are able to apply them to satisfy the need of regulators. Students are able to work on case studies and are able to communicate their rationale and conclusions clearly and unambiguously to specialist and non-specialist audiences.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-25