Quantitative Asset and Risk Management
Quantitative Asset and Risk Management
Quantitative Asset and Risk Management is a career parallel, English-language degree programme. It qualifies students for a successful career in banking and finance for both the domestic and international labour market.
The main fields of study are asset management, risk management and asset liability management for banks, insurance companies, other financial service providers and regulatory institutions.
The programme is aimed at students with high affinity to (financial) mathematics and statistics. It offers extensive know-how in the area of asset and risk management and is very convincing with its practical applications.
Students have multiple opportunities to gain international experience at one of our partner universities and also gain a double degree. Depending on personal preferences and compatibility with career and private life.
Graduates are able to
- describe and analyse the connections between asset and risk management in finance
- quantify and assess risk types in risk management, and infer measures for integrated steering of banks and insurance companies
- analyse various asset classes and their products
- carry out portfolio selections, and calculate key performance and risk measures
- apply financial mathematics and statistics to developing financial models
- solve problems together with experts from other disciplines by applying risk management and asset management strategies and methods under consideration of ethical and social responsibilities
- cooperate, as competent experts, in a globalised work environment or in international teams
- Asset management
- Risk management
- Liability management
- Private banking and family office
- Compliance and regulatory reporting
You can find more information in the current brochure of the degree programme
Get to know our degree programme
ECTS and course information
Course Structured ProductsECTS Credits 2.00Language EnglishCurriculum PTSemester 2 SSIncoming
After the successful completion of the course, students are able to categorize structured products across asset classes and describe their risk and return profile. They are able to break down structured products in plain vanilla products and can outline hedging possibilities derived from structured products. Furthermore, they are able to structure tailor made solutions for different market views. Additionally, students are able to use financial models to valuate structure products across different asset classes.
Course ALM and Insurance ManagementECTS Credits 3.00Language EnglishCurriculum PTSemester 3 WSIncoming
After the successful completion of the course, students are able to state the general framework of the pan European Solvency II regime. They are able to describe the three pillars of the framework and differentiate between their aims. Not only will they be able to search the four levels of the Solvency II regime to answer relating questions, but they will also have a basic understanding of the corresponding required governance structure and quantitative aspects. They are able to explain the idea behind the calculation of the Solvency Capital Requirement (SCR) and to differentiate between the factor and scenario based approach for calculating risk modules. Furthermore, they are able to outline the reasoning of why the SCR is compared to the eligible own funds for calculating the solvency ratio, which is the regulatory key figure under Solvency II.
Course Bank ManagementECTS Credits 5.00Language EnglishCurriculum PTSemester 3 WSIncoming
The alumni are aware of the necessity, the objectives and the instruments of a risk-oriented integrated bank management. Particularly, they know about the advantages and disadvantages of the various risk adjusted performance measures (RAPM), know the different definitions of equity capital in the context of bank management and have a good understanding of the problems and mechanisms of economic capital allocation. They know how to set up a bank-wide limit system and have a good command of the methods and concepts of asset and liability management (ALM) in banks. Further, they are familiar with the concepts of risk-oriented pricing on a bank-wide basis and also for single risk types.The alumni know how to control risk of single instruments and portfolios by means of derivative instruments; they know the relevant regulations of the international financial reporting standards (IFRS) and can conduct performance and attribution analyses and set up reporting systems for the various asset. Alumni working on case studies and can therefore communicate their rationale and conclusions clearly and unambiguously to specialist and non-specialist audiences. Alumni prepare a supervisory report including a management summary and conclusion to evaluate different options for action to facilitate executive level decision-making. During class they learn the ability to work in international teams and to interact constructively with others regardless of background and culture.
ECTS Credits 6.00Language EnglishCurriculum PTSemester 3 WSIncoming
After the successful completion of the course, students are able to combine assets from various asset classes into an appropriate aggregated portfolio. They can identify and operate the different phases of the portfolio management process (analysis, forecasting, selection and performance and attribution analysis) for the aggregated portfolio. The can use financial data providers to collect market data and use it for analysis and forecasting in the portfolio management process. Furthermore, they can use industry specific software to conduct a performance evaluation for a portfolio and present the results to a specialist and non-specialist audience.
Course Legal Framework and EthicsECTS Credits 3.00Language EnglishCurriculum PTSemester 3 WSIncoming
After the successful completion of the course, students are able to outline the relevant regulatory and ethical principles within the scope of asset management and their implications. Moreover, students can discuss fiscal regulations and extrapolate implications for private and institutional investors.
Course Management of Life RiskECTS Credits 3.00Language EnglishCurriculum PTSemester 3 WSIncoming
After the successful completion of the course, students are able to handle economic capital allocation using appropriate control measures in the field of life risk. They can organise and control a limit system. Furthermore, the students are able to develop and understand actuarial models for the calculation of premium reserves. Additionally, the students can describe the most important aspects of the regulatory framework for insurance companies (Solvency II) as well as relevant new regulations concerning the accounting system (IFRS) for life risk.
Course Management of Non-Life RiskECTS Credits 3.00Language EnglishCurriculum PTSemester 3 WSIncoming
After the successful completion of the course, students are able to handle economic capital allocation using appropriate control measures in the field of non-life risk. They can characterize different types of non-life insurances. Furthermore, the students can describe the organisation and embedding of risk management in non-life-insurances and are able to calculate ruin probabilities. Additionally, they can describe the most important aspects of the regulatory framework for insurance companies and pension funds (Solvency II) as well as relevant new regulations concerning the accounting system (IFRS) for non-life risk.
Course Operational Risk for BanksECTS Credits 2.00Language EnglishCurriculum PTSemester 3 WSIncoming
The alumni know how to construct a loss-data base which is essential for the estimation of operational risk.They are familiar with quantitative and qualitative methods to analyse OpRisk.The almuni can 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.
ECTS Credits 3.00Language EnglishCurriculum PTSemester 3 WSIncoming
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.
ECTS Credits 2.00Language EnglishCurriculum PTSemester 3 WSIncoming
The alumni are familiar with the organisation of risk management in the field of market risk. The almuni can apply controlling- and performance-measures for the operative control of market risk. They know the relevant regulations of the international financial reporting standards (IFRS) and of Basel III/IV for market risk in accordance with European and global standards. The almuni can deviate the minimum requirements for VaR models and can develop VaR models to assess the market risk. Alumni are working on case studies and can therefore communicate their rationale and conclusions clearly and unambiguously to specialist and non-specialist audiences.
We thank our partners
PRMIA accreditation for Quantitative Asset and Risk Management / PRM industry certificate
Alumni of Quantitative Asset and Risk Management will be eligible for exemption from PRM exam I and II (out of four exams): https://www.prmia.org/
CFA Society Austria
The master programme Quantitative Asset and Risk Management has strong ties to the CFA Society Austria and is submitting every year the best master theses to the CFA Austria Prize.
SAS Joint Certificate
Graduates of the master’s programme in Quantitative Asset and Risk Management (ARIMA) are now awarded the SAS Joint Certificate. ARIMA is the only programme in Austria, and one of only two universities in Germany, Switzerland and Austria (German-speaking countries), offering this qualification. The condition for this was the use of SAS software in the classrooms.
We have a new research partner: FENION.
Fenion specializes in the delivery of high-quality fund data in all common formats. Our long-standing customers include banks, insurance companies, asset managers, as well as trusts and companies in the public sector. In the context of an Innovationsscheck, sponsored by the FFG (Forschungsförderungsgesellschaft), the study program will conduct joint research with Fenion in the field of regulatory reporting for pension funds.
"ARIMA (Quantitative Risk and Asset Management) is a very intensive master`s programme, which is just the thing for number-crunchers interested in finance, mathematics and statistics. The degree programme offers comprehensive quantitative know-how in asset and risk management, winning you over with practice-oriented applications. Since the studies are quite internationally-oriented, there are numerous possibilities for a successful career in finance and insurance."
Raphael Siegert, MA, graduate