ALM, Risk Management and International Banking Regulation

  • International legal risk frameworks
  • Strategic bank management objectives
  • Core bank processes
  • Fundamental mechanisms to manage risk (avoidance, pricing, reduction by diversification, hedging)
  • Risk-adjusted performance measures e.g. Rorac, Raroc, Rarorac,...
  • Tier 1, 2 and 3 Capital
  • Regulatory capital vs. economic capital
  • Methods of economic capital allocation (budgeting, internal capital market, etc.)
  • 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 II, especially ICAAP, disclosure rules according to pillar 3 of Basel II and according to IFRS)
  • New regulatory aspects concerning Basel III and forthcoming Basel IV
  • Fixed Income
  • Hedging Fixed Income Bank Book

Mode of delivery

face to face



Recommended or required reading and other learning resources/tools

Hull, J.: (2018): Risk Management and Financial Institutions, Wiley, 5th edition.
Choudry, M. (2007): Bank Asset and Liability Management, Wiley

Planned learning activities and teaching methods

Lecture, blended learning with video tutorials, individual home assignments, discussions on solutions, teacher feedback on individual home assignments.

Assessment methods and criteria

Final written exam (70%) and continuous assessment (30%) where the presentation of home assignments and mid-term tests will be evaluated.

Prerequisites and co-requisites



Degree programme

International Banking and Finance (Master)



ECTS Credits


Language of instruction




Academic year



1 WS



Learning outcome

After this integrated course students can

  • describe different legal risk frameworks in the US, Europe and Asia
  • explain the impact of differences in regional legal risk frameworks on different risk organisations in international banks
  • define the function of different types of capital: Tier 1, 2 and 3 Capital
  • explain the differences of regulatory and economic capital
  • outline specific risk management parts of Basel III and Basel IV
  • decompose strategic objectives into sub-objectives
  • apply strategic methods and instruments of a risk-oriented integrated bank management and controlling in an international business environment.
  • calculate prices for plain-vanilla fixed income products
  • analyse advantages and disadvantages of the various risk adjusted performance measures.
  • evaluate interest rate risk for a fixed income portfolio
  • hedge interest rate risk of a bank book consisting of plain-vanilla fixed income products

Course code