ALM, Risk Management and International Banking Regulation

Brief description

• Strategic bank management objectives • Core bank processes • Fundamental mechanisms to manage risk (avoidance, pricing, reduction by diversification, hedging) • Funds transfer pricing (FTP) • Risk-adjusted performance measures, e.g. Rorac, Raroc, Rarorac • Equity • Regulatory capital vs. internal capital vs. economic capital • Methods of economic capital allocation (budgeting, internal capital market, etc.) • Types of risk • Organisation of risk management and its integration in the total system of a bank (banking group) • International regulatory risk frameworks, esp. under pillar 1, 2 and 3 of Basel II, including ICAAP and ILAAP • New regulatory aspects concerning Basel III and Basel IV • Impact of reforms in accounting standards (IAS 39 vs. IFRS 9) on bank steering • Liquidity risk management, including steering/funding instruments • Management of FX and interest rate risk in the banking book, including steering/hedging instruments and basic hedge accounting techniques according to IFRS

Mode of delivery

Präsenzveranstaltung

Type

Pflichtfach

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

None

Infos

Degree programme

International Banking and Finance (Master)

Cycle

Master

ECTS Credits

4.00

Language of instruction

German

Curriculum

Part-Time

Academic year

2025

Semester

1 WS

Incoming

Yes

Learning outcome

After this integrated course students can • describe strategic targets of banks • describe basic functions and processes within a bank (banking group) • differentiate market units from market following units, describe the exclusive roles of front office, middle office (risk management function) and back office, and explain the need for segregating their duties • describe the role of committees (ALCO, credit committee, etc.) and internal/external audits • explain the impact of regulatory reforms on ALM and risk management in international banks • compare the different types of capital and capital instruments • outline specific requirements of Basel II, III and IV on bank steering and risk management • assess the impact of changes in funds transfer prices on a bank’s balance sheet and liquidity position • analyse advantages and disadvantages of the various risk adjusted performance measures • evaluate the bank’s liquidity position from a regulatory and risk perspective and propose adequate steering measures • compare the main funding instruments • distinguish between main capital market instruments, i.e. uncovered and covered bonds, credit-linked bonds and ABS, etc. • evaluate and hedge interest rate risk of a bank book consisting of plain-vanilla fixed income products • compare the features and effects of FX and interest rate derivatives

Course code

0230-17-01-BB-EN-07

ALM, Risk Management and International Banking Regulation