Risk Controlling and Organisation Credit Risk

performance and risk measures for the credit portfolio of a bank controlling the credit portfolio by granting/not granting loans on the basis of rating systems, collaterals, risk-adequate pricing, and by taking diversification aspects into account; controlling the credit portfolio through ABS and credit derivatives; qualitative and quantitative analysis of credit portfolios; collateral management; limit systems and allocation of economic capital for credit risk; organisation and reporting for credit risk; regulatory aspects for credit risk: (minimum capital requirements according to Basel III/IV and minimum requirements in the different approaches); relevant aspects of IFRS concerning credit risk

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

OeNB Guidelines on Credit Risk Management: Rating Models and Validation. Baesens, Rösch, Scheule, Credit Risk Analytics –Measurement Techniques, Application, and Examples in SAS, 2016; Löffler, Posch–Credit Risk Modeling Using Excel and VBA; TizianoBellini -IFRS9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples worked in R and SAS

Lern- und Lehrmethode

integrated class

Prüfungsmethode

Students are assessed on the quality of the preparation of the case study they have to solve individually and in groups; further on their participation in class.

Voraussetzungen laut Lehrplan

Courses 9-19

Schnellinfos

Studiengang

Quantitative Asset and Risk Management (Master)

Akademischer Grad

Master

ECTS Credits

3.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2022

Semester in dem die Lehrveranstaltung angeboten wird

3 WS

Incoming

Ja

Lernergebnisse der Lehrveranstaltung

The alumni can apply and interpret performance and risk measures for the credit portfolio of a bank to be able to control the credit portfolio by granting/not granting loans on the basis of rating systems, collaterals, risk-adequate pricing. Additionally they are familiar with the financial regulations like Basel III/IV and IFRS in accordance with European and global standards . They apply financial mathematics and statistics to develop rating models. As an add-on they apply the industry-specific software "SAS" to develop a PD model. They are working on case studies and can therefore communicate their rationale and conclusions clearly and unambiguously to specialist and non-specialist audiences.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-24