Management of Market and Operational Risk

  • Objectives and tasks of the management of market and operational risks
  • Organisation of risk management for market risk and operational risks
  • Basic methods of VaR calculation for market risk: variance/covariance approach, historical simulation and Monte Carlo simulation and their application to equity price, interest rate and foreign currency risks
  • Back and stress testing for market risk
  • Market risk management tools
  • The extent of the operational risk and its differentiation from other types of risk
  • Qualitative and quantitative models for determining operational risk
  • Operational risk management tools
  • Basic prudential requirements for market and operational risk

Mode of delivery

face to face



Recommended or required reading and other learning resources/tools

Philippe Jorion (2007): Financial Risk Manager Handbook, Wiley &Sons, New York, 4th edition
Philippe Jorion (2007) : The Value at Risk: The Benchmark for Controlling Market Risk, Mc Graw Hill, New York, 3rd edition.

Planned learning activities and teaching methods

Classroom teaching, discussion of examples with students, e-learning

Assessment methods and criteria

Continuous assessment (student contributions in class) and written exam

Prerequisites and co-requisites

Financial Mathematics, Descriptive Statistics, Inferential Statistics


Degree programme

Banking and Finance (Bachelor)



ECTS Credits


Language of instruction




Academic year



4 SS



Learning outcome

After successful completion of the course, students can

  • assess market risk and operational risk within a bank and the relevance of these two risks
  • cooperate in the identification and management of these risks
  • evaluate the relevant approaches and their respective strengths and weaknesses
  • carry out a VaR calculation of the market risk
  • independently design a VaR model for small portfolios
  • apply the basic methods of back and stress testing for market risk
  • explain the management options for market risk
  • summarise the basic methods and difficulties in measuring operational risk and the relevant management tools
  • illustrate the basic regulations for both market and operational risk

Course code