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Overview

Expert knowledge is crucial throughout the persistent global financial crisis to manage the wide range of financial risks. In-depth exposure to the different risk types and complex risk management processes prepares students for a career in any risk-related area including strategy and national/ international regulators, such as the European Central Bank.

The Master of Finance was the first programme in Germany accredited by GARP and this specific concentration is supported by the Frankfurt Institute for Risk Management and Regulation (FIRM) which supports our students with a number of generous scholarships.

Ranked no. 1 worldwide for Risk Management by the Financial Times.

Modules

Risk Governance & Organisation

The module covers the fundamentals of risk processes and governance, the concept of capital coverage, integrated performance as well as the risk categories.

We will discuss organisational and process requirements for each risk category using case studies on risk governance and risk management failures. Focus is also put on the supervisory process of the ECB.

Structured Products & Interest Rate Models

In this module you gain a thorough understanding of interest rate products and interest rate models.  You are also able to apply advanced knowledge for assessing interest rate risk, i.e. you can quantify yield curve risk, apply interest rate derivatives and structured products to manage risks, analyze complex structured products and assess their modeling requirements.

Risk Modelling

This module covers state-of-the-art techniques of risk modelling. You will look at general risk measures (coherent, convex) and associated techniques of capital allocation. Models such as GARCH are taught, together with advanced dependence modelling techniques (copulas).

Portfolio Risk Management

This module discusses in detail the theoretical and computational tools used in the portfolio analysis and in risk management. Theoretical lectures are supported by group home assignments in which you will apply the theory to a number of real portfolio analysis problems. For the second half of the course, deeper emphasis is put on risk management issues.

Credit Risk Default Models & Credit Derivatives

The module provides a profound introduction to credit risk in general: from a portfolio perspective to single name default risks. Special emphasis is put on the modelling of default dependence, which is the central challenge in assessing credit portfolio risk. It also discusses the use of credit derivatives for credit risk management, including pricing and understanding market quotes for credit derivatives.

Why Risk Management at FS?

"The Risk Management Concentration at Frankfurt School is an excellent introduction to the necessary skills and thematic focuses found in the industry. In contrast to a more compliance driven risk management, Frankfurt School focuses on the quantitative methods in asset management and valuation."

Check out other reasons why Justin, a Master of Finance Alumnus, chose this concentration here.

Careers