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

Integrated course (ILV), Lecture, exercises, examples

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 (engl.)



ECTS Credits


Language of instruction




Academic year



4 SS



Learning outcome

After successful completion of this module, students can • describe the tasks of risk management in insurance companies • outline various forms of sales organisation of typical financial products and highlight the differences between them • define and interpret the most important sales-related key figures • demonstrate various forms of commission systems and identify the respective advantages and disadvantages • illustrate important methods for quantifying and managing the various risks relevant to insurance undertakings and to relate them to the relevant regulatory requirements • critically analyse the consulting services of banks, insurance companies, agencies or brokers in this area and draw conclusions and conclusions for improvement possibilities • implement the main provisions of the Solvency II Standardised Approach (2) and assess the potential impact on different areas of an insurance company • identify the supervisory powers determined under Solvency II (2) and infer conclusions and consequences for the management of insurance companies

Course code