Operational Risk for Banks

TTypes of OpRisk and delimitation problems to other types of risk; historical examples for OpRisk; construction and collection of loss-data-bases; quantitative and qualitative methods to analyse OpRisk: loss data-bases, early warning indicators, risk assessment, and scenario analysis; Estimation of the OpVaR, back and stress testing; Management of OpRisk: Acceptance versus organisational action: fraud management, insurance of risks, outsourcing, emergency plans; Reporting, limits, pricing, and allocation of economic capital for OpRisk; Organisational aspects for OpRisk; Regulatory aspects for OpRisk (Minimum capital requirements for OpRisk according to Basel III/IV and minimum standards for the different approaches)

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

Crouhy, M., Galai, D., Mark, R, 2001, The Essentials of Risk Management, Second Edition, 2014, Risk Management and Financial Institutions, Prentice Hall/Euromoney 2018,
Ariane Chapelle, Operational Risk Management: Best Practices in the Financial Services Industry (Wiley Finance), 2019

Planned learning activities and teaching methods

Interactive teaching (lecture, peer feedback and discussion on team-exercises, using a case study to apply the knowledge acquired in class).

Assessment methods and criteria

The continuous assessment for this course rests on group work 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.

Prerequisites and co-requisites

Courses MOMR20, MOCR20

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

2.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2023

Semester

3 WS

Incoming

Yes

Learning outcome

The alumni are able to construct a loss-data base which is essential for the estimation of operational risk. They are able to develop quantitative and qualitative methods to analyze OpRisk and deduct appropriate measures. The almuni are able to control operational risk (e.g. fraud) accordingly. Additionally, they are familiar with the financial regulations like Basel III/IV and IFRS in the field of operational risk and are able to apply them to satisfy the need of regulators. 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.

Course code

0613-09-01-BB-EN-25