Master in Risk Management & Regulation

Foundations of Risk Management and Market Risk 5 ECTS

Prof. Dr. Natalie Packham

• Risk management objectives (and types)
• Bank capital, risk management and regulation
• Risk factors and risk mapping
• Risk measures and Value-at-Risk
• Computing Value-at-RiskFoundations of Risk Management and Market Risk 4 ECTS
• Credit Risk and Credit Value-at-Risk
• Risk capital calculation 

Financial Markets and Products 5 ECTS

Prof. Dr. Ursula Walther, Prof. Dr. Peter Gomber

• Basic theory of finance
• Basic theory of financial intermediation
• Financial markets
• Equities and bonds
• Derivatives and their application
• Interest rate derivatives (FRAs, Swaps)
• Futures and forwards
• Options and hybrid products
• Structured Finance (e.g. ABS, LBOs, SPVs)

 
Risk Modelling 5 ECTS
Prof. Dr. Natalie Packham

• Advanced risk measures
• Capital allocation
• Financial time series
• Modelling dependence
• Modelling extreme events (EVT, extreme value theory)
• Applications in market risk
• Monte Carlo methods and techniques

Modelling and Managing Interest Rate Risk 5 ECTS

Prof. Dr. Wolfgang Schmidt

• Liquid interest rate products
• Quantifying interest rate risk
• Managing and hedging interest rate risk
• Understanding the term structure (stylized facts)
• Modelling the term structure
• Advanced interest rate products (structured products)
• Interest Rate Risk in Banking Supervision

 
Governance and Corporate Ethics 5 ECTS

Prof. Dr. Hartmut Kliemt, Prof. Dr. Eberhard Feess, Wolfgang Hartmann

• Ethics (time frame 4-8 hours, to be done by ethicist)
• Ethics as code vs. ethics as normative theory
• Stakeholder vs. Shareholder conceptions (Freidman vs. Freeman)
• Alchian-Friedman defense of homo economicus, the scope for behavior pursuing goals other than profit max!
• The indeterminacy of "profit max!" and ethics in aspiration formation/adaptation concerning intermediate goals
• Corporate actors, ethics and Robert Frank's theory of rational self-management
• The role of normative consistency in (continuous) business dealings and the Reflective equilibrium metaphor!
• Principal agent relationships - how to transfer ethic principles and the interests of firms in every day decision making.
• insufficient effort,
• unwarranted division of effort (multi task principal agent problems),
• unwarranted project choice due to unobservable outcomes (in particular for lending decisions and investment advise
• excessive risk taking due to limited liability, and
• selection issues.

For all these problems (and for mitigation strategies), basic theoretical insights as well as empirical and experimental results are discussed.

• Corporate Governance Principles,
• Governance and Reputational Risk (Compliance Framework, Terrorist Financing, Integration into overall Risk Management)

Case Studies will be used throughout, to exemplify the contents of the course!

Bank Regulation 5 ECTS

Prof. Dr. Adalbert Winkler

• Concepts of banking regulation
• Foundations of German banking regulation (MaRisk, KWG, SolvV, LiqV)
• International comparison, e.g. Basel II
• Non-bank financial regulation (e.g. Solvency II)
• Regulatory arbitrage
• Financial systems
• Contagion channels

 
Accounting and its Impact on Risk Management 5 ECTS

Prof. Dr. Hermann A. Wagner, Gregor Breitenbach, Armin Thiel

• Financial Analysis of Corporations and Banks (Breitenbach, Thiel)
  • Financial Analysis/ Credit Analysis of a Corporation
  • Financial Analysis of banks – distinctive features and limits

• Bank accounting and its impact on risk management
  • Classification and Measurement (fair value versus amortized cost LLPs standards etc)
  • Fair Value Option and Hedge Accounting
  • Consolidation and De-recognition
  • Financial Statements & Risk Disclosure
  • Accounting Policy / window dressing
  • Comparison & consolidation of internal and external reporting requirements
  • Role of external auditors (this should cover the classic KPMG type role but also DPR, SEC, etc.) 

 
Credit Risk, Default Models and Credit Derivatives 5 ECTS

Prof. Dr. Wolfgang Schmidt, Dr. Christian Wagner

• Credit risk and default modelling
• Risk Parameters
• Credit risk management, credit value at risk and Basel II
• Industry models for portfolio credit risk (KMV, Credit Metrics, Credit Risk+)
• Credit derivatives (Spread risk)
• Credit correlation (Basket default swaps and CDOs)
• Credit Risk in Banking Supervision
• Rating methodology (Scoring / SFS&CF Analysis / Quantitative and Qualitative Factor Analysis)

 
Operational Risk Liquidity and Refinancing Risk 5 ECTS

Dr. Michael Kalkbrener

• Operational Risk - definitions & dimensions
• Legal Risk
• Operational Risk in banking supervision
• Operational Risk modelling
• Operational Risk controlling

Prof. Dr. Stefan Zeranski

• Liquidity definitions & dimensions
• Liquidity Risk in banking supervision (LiqV)
• Liquidity modelling
• Treasury
• Funding
• Case studies

 
Processes and Organisation 5 ECTS

Prof. Dr. Jürgen Moormann

• General Risk Management Processes
• Credit Decision Process (e.g. Rating, Collateral, Credit Authorities)
• Credit Monitoring Process (e.g. Covenants, Asset Quality Review)
• Credit Workout Process
• Operations / Middle Office
• Process Optimization / Outsourcing
• Portfolio-specific processes (retail, commercial, real estate, …)
• Role of Internal Audit

Financial System Stability and Enterprise Risk Management 5 ECTS

Dr. Sebastian Fritz-Morgenthal

• Interaction and Aggregation of Risk types
• Self Assessments, scenario analysis and stress testing
• Risk-adjusted Bank Steering
• Economic capital and RAROC (risk aggregation, measurement)
• Great financial disasters of our time (UBS report, Soc Gen report)
• Linking of business model with risk strategy
• Financial crises (Turner-Report, Corrigan-Report, …)
• Asset price bubbles, financial stability and monetary policy
• Modelling financial networks
• Grenzen Quant (Embrechts)