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

Successful participants in this module have detailed knowledge of the methods and tools of bank management. They understand the general framework in which a bank operates and challenges in liquidity, risk and capital management. In particular they are able to apply their understanding of these challenges in the context of bank management at the group level. This enables the understanding of a bank's value creation process which will serves as basis during the following modules, for example, when assessing products, sales strategies and controlling.

Post successful completion of this module, students have competence regarding the integrated understanding of the banking sector. This can be used in practice when managing certain business areas within a bank, or when evaluation business units or sectors. A group projects offers students an opportunity to further develop their social, team and presentation skills.

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


Prerequisites and co-requisites

Modules IFG, FIR, VBU, AUR, QFM (1, 2, 3, 7, 8)

Assessment methods and criteria

ILV: final exam, assessment of active course participation