Risk Controlling and Organisation Credit Risk

Brief description

performance and risk measures for the credit portfolio of a bank controlling the credit portfolio by granting/not granting loans on the basis of rating systems, collaterals, risk-adequate pricing, and by taking diversification aspects into account; controlling the credit portfolio through ABS and credit derivatives; qualitative and quantitative analysis of credit portfolios; collateral management; limit systems and allocation of economic capital for credit risk; organisation and reporting for credit risk; regulatory aspects for credit risk: (minimum capital requirements according to Basel III/IV and minimum requirements in the different approaches); relevant aspects of IFRS concerning credit risk

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

OeNB Guidelines on Credit Risk Management: Rating Models and Validation. Baesens, Rösch, Scheule, Credit Risk Analytics –Measurement Techniques, Application, and Examples in SAS, 2016; Löffler, Posch–Credit Risk Modeling Using Excel and VBA, 2010; Tiziano Bellini -IFRS9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples worked in R and SAS, 2019.

Planned learning activities and teaching methods

Interactive teaching (lecture, peer feedback and discussion on team-exercises, using a case study to apply the knowledge acquired in class

Assessment methods and criteria

The assessment for this course rests on:

  • Written report on a case study covering current topics of credit risk management including the development of a rating model using SAS statistical software or similar software (50 points).
  • Written report on a case study on current regulatory requirements in credit risk (30 points).
  • Oral examination: students have to demonstrate the ability to explain and discuss the covered topics (20 points).
Up to 8 additional points can be reached during class through group work and calculating examples.

Prerequisites and co-requisites

Courses MOMR20, MOCR20

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

3.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2023

Semester

3 WS

Incoming

Yes

Learning outcome

The alumni can apply and interpret performance and risk measures for the credit portfolio of a bank to be able to control the credit portfolio by granting/not granting loans on the basis of rating systems, collaterals, risk-adequate pricing. Additionally they are able to explain and apply the financial regulations like Basel III/IV and IFRS in accordance with European and global standards. Based on this they are able to derive the necessary risk management measures. They are able to apply financial mathematics and statistics to develop rating models. As an add-on they are able to apply the industry-specific software "SAS" to develop a PD model. Students are able to work on case studies and are able to communicate their rationale and conclusions clearly and unambiguously to specialist and non-specialist audiences

Course code

0613-09-01-BB-EN-24