Risk Controlling and Organisation Market Risk

perative control and trading strategies for fixed income-, equity-, commodity and FX-risk with a focus on the trading book controlling- and performance-measures for the operative control of these risks; limit systems and allocation of economic capital for the different types of market risk, reporting for market risk; regulatory aspects for market risk (minimum capital requirements for the sub-types of market risk in the different approaches and minimum requirements for VaR models); relevant aspects of IFRS for market risk (on/off balance sheet aspects; pricing/valuation of financial titles; hedge accounting)

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

European Union, Capital Requirements Directive II, 2019, European Union, Capital Requirements Regulation V, 2019, European Union, Solvency II Directive, 2016, International Accounting Standards Board, Framework for the Preparation and Presentation of Financial Statements, International Accounting Standards Board, International Financial Reporting Standard 9, 2021

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 quizzes 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

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 familiar with the theory of organisation of risk management in the field of market risk and are able to put this in practice. The alumni are ablet to apply controlling- and performance-measures for the operative control of market risk and are able to derive decisions to control market risk. They know the relevant regulations of the international financial reporting standards (IFRS) and of Basel III/IV for market risk in accordance with European and global standards. Based on this they are able to derive the necessary risk management measures. The almuni are able to deviate the minimum requirements for VaR models and can develop VaR models to assess the market risk. 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-23