POSTGRADUATE COURSES
The persistent crisis of the global financial system results in an increased need for experts and leaders to manage financial and non-financial risks in both a professional and sustainable way. In the Risk Management concentration students receive comprehensive insight into the structure, methods and applications of modern risk management. Combining theoretical models with casestudies and research prepares students to takeon the challenges of today’s risk management and regulation business. The concentration is supported by FIRM, the Frankfurt Institute for Risk Management and Regulation. FIRM wil provide some scholarship funding as well as arrange internships. Students will also be invited to executive talks with leading representatives in Risk Management and to participate in the FIRM alumni initiative.
Specialisation Modules
Risk Modelling
This module extends your knowledge of market risk by covering state-of-the-art techniques of risk modelling. You learn about statistical and econometric foundations of time series and related modelling approaches such as GARCH models, techniques targeted at modelling extreme losses and sophisticated modelling of dependencies (copulas). Particular emphasis is put on practical application of these concepts.
Credit Risk, Default Models & Credit Derivatives
The management of credit risk is an essential part of this module. Becoming familiar with the credit value at risk and the industry models, like Credit Risk+, are only some of the important learning results. You will be able to apply credit derivatives, and discuss mark-to-market CDS pricing and the CDS curve.
Financial Supervision & Banking Regulation
This module treats the objectives, such as proper incentive schemes, of financial supervision and banking regulation. German banking regulation rules (MaRisk, KWG, Solva, LiqV) are covered and compared with international banking regulations (Basel II, II.2, III). Non-bank financial regulation, such as regulation of insurance companies (Solvency II), is also part of this module.
Operational Risk, Liquidity Risk & Other Risks
Risk types beyond market and credit risk are covered in this module. You will learn about operational risk modelling and regulation of operational risk. Liquidity risk, which played a fundamental role in the subprime crisis, will be covered both from a modelling and a supervisory standpoint. Other risks, such as legal and reputational risk, are also treated in this module.
Organisation & Processes
You will understand the risk management process in general and the credit process (decision, monitoring, workout) in particular. Specific processes, such as retail, commercial and real estate are discussed. Also, you will learn about process optimisation and outsourcing.