• Economic function of banks
• Regulatory environment
• Principles of bank-wide risk management (ICAAP)
• Credit risk measurement and validation
• Credit risk management
• ICAAP analysis

After completing this course the student will have the ability to

· explain the institutional background for modern risk management in the banking industry,

· identify risks

· quantify risks (focus is on credit risk)

· aggregate risks and derive an appropriate capital allocation

· apply a risk-based pricing and management

· critically review models and concepts

· efficiently work in groups

The standard attendance requirement (80%) applies, i.e., you can miss one unit.

During the lecture, the students get the relevant information based on the presentation of the slides. Thereafter, case studies and examples are used to gain a deeper understanding of the content.

10%       Take-Home Excersise based on Required Reading

25%       Case Study 1 (Group Work)

25%       Case Study 2 (Group Work)

40%       Final Exam

· Good knowledge of financial markets and instruments

· Good knowledge of statistical inference

· Basic knowledge of corporate finance

· Excellent command of R

Please log in with your WU account to use all functionalities of read!t. For off-campus access to our licensed electronic resources, remember to activate your VPN connection connection. In case you encounter any technical problems or have questions regarding read!t, please feel free to contact the library at readinglists@wu.ac.at.

rainer.jankowitsch@wu.ac.at