Bank Management

Risk and Capital Management in Banks

Integrated course, 3.00 ECTS

 

Course content

This courses focuses on risk management in banks. Some emphasis is put on Credit as a bank's core business area. Regulatory and economic requirements on a bank's risk management system are discussed, and particular attention is given to the regulatory systems in Austria/Europe (e.g. Basel II/III). After an introductory part, students complete a case study including the building of a bank's risk model. This modelling exercise shall deepen their understanding of the effects of the various risk types.

The core contents of this course include:
[1] Sources of risk in banking;
[2] Reporting and regulatory requirements;
[3] Measuring risk: RWA, expected loss, unexpected loss, VaR, ES, model risk, etc.;
[4] Economic and regulatory capital (incl. Basel II/III), standard vs. internal model, cost of risk, cost of capital;
[5] Managing the credit portfolio (quality requirements, limit system, standard approach/IRBA, capital allocation);
[6] Management of interest rate risk;
[7] Active balance sheet vs. risk management: syndication of risk, securitisation of risk.
Optional contents can include:
[8] Management of FX, operational and other risk;
[9] Off-balance sheet risk;
[10] Application of derivatives in bank risk management;
[11] Capital increases; dividend strategies.

Learning outcomes

Graduates have detailed knowledge of the management of banking companies. In particular, they are familiar with the framework conditions and challenges in the areas of liquidity, risk and capital management, and are able to link these areas in the sense of indicator-oriented and integrated overall bank management. This creates a holistic understanding of a bank's value creation process, which can be built on in the subsequent modules and thus allows product and sales discussions from an integrated management perspective. Graduates thus have holistic understanding competence in the banking sector, which is central in practice at the corporate management level, but also in the evaluation of individual business areas or business units. In the planned project work, social competence, teamwork and presentation skills are also strengthened.

Recommended or required reading and other learning resources / tools

References: Bartetzky (2012): Praxis der Gesamtbanksteuerung, Schäffer-Poeschel. Botsis et al (2013): Kennzahlen und Kennzahlensysteme für Banken, Springer. Choudry (2011): An Introduction to Banking, Wiley. Daheim/Thiele (2011): 100 Bankkennzahlen, cometis. Enthofer/Haas (eds./2011): Handbuch Treasury, Linde. Hartmann-Wendels et al (2010): Bankbetriebslehre, Springer. Horsch et al (2011): Wertorientierte Banksteuerung I und II, Frankfurt School V. Koch/McDonald (2009): Bank Management, Cengage Learning. Rolfes (2008): Gesamtbanksteuerung, Schäffer-Poeschel. Schierenbeck (2012): Ertragsorientiertes Bankmanagement, Band 1 bis 3, Gabler. Wernz (2012): Banksteuerung und Risikomanagement, Springer.
Academic journals: Die Bank, Bankarchiv, Bankmagazn, Journal of Banking and Finance.

Mode of delivery

3 ECTS: ILV

Prerequisites and co-requisites

none

Assessment methods and criteria

ILV: final exam, assessment of active course participation