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
Quantitative Asset and Risk Management (Master)
Language of instruction
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.