Risk Controlling and Organisation Credit Risk

performance and risk measures for the credit portfolio of a bank controlling the credit portfolio by granting/not granting loans on the basis of rating systems, collaterals, risk-adequate pricing, and by taking diversification aspects into account; controlling the credit portfolio through ABS and credit derivatives; qualitative and quantitative analysis of credit portfolios; collateral management; limit systems and allocation of economic capital for credit risk; organisation and reporting for credit risk; regulatory aspects for credit risk: (minimum capital requirements according to Basel III/IV and minimum requirements in the different approaches); relevant aspects of IFRS concerning credit risk

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

OeNB Guidelines on Credit Risk Management: Rating Models and Validation. Baesens, Rösch, Scheule, Credit Risk Analytics –Measurement Techniques, Application, and Examples in SAS, 2016; Löffler, Posch–Credit Risk Modeling Using Excel and VBA; TizianoBellini -IFRS9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples worked in R and SAS

Planned learning activities and teaching methods

integrated class

Assessment methods and criteria

Students are assessed on the quality of the preparation of the case study they have to solve individually and in groups; further on their participation in class.

Prerequisites and co-requisites

Courses 9-19

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

3.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2022

Semester

3 WS

Incoming

Yes

Learning outcome

The alumni can apply and interpret performance and risk measures for the credit portfolio of a bank to be able to control the credit portfolio by granting/not granting loans on the basis of rating systems, collaterals, risk-adequate pricing. Additionally they are familiar with the financial regulations like Basel III/IV and IFRS in accordance with European and global standards . They apply financial mathematics and statistics to develop rating models. As an add-on they apply the industry-specific software "SAS" to develop a PD model. They are working on case studies and can therefore communicate their rationale and conclusions clearly and unambiguously to specialist and non-specialist audiences.

Course code

0613-09-01-BB-EN-24