Business and management studies

Bank Risk Management

Module code: 757N1
Level 7 (Masters)
15 credits in spring teaching
Teaching method: Workshop
Assessment modes: Unseen examination, Coursework

In this module, you study the different risk management techniques used to assess and control risk in the banking sector.

You look at:

  • Value-at-Risk (VaR)
  • risk control techniques including limit setting and risk budgeting
  • Debit and Credit Value Adjustments (DVA and CVA)
  • credit risk assessment
  • credit lines
  • bank stress tests, which are designed to detect weak spots in the banking system so that preventative action can be taken.

Module learning outcomes

  • Comprehend and critically discuss the various risks that need to be measured and managed in the financial sector of the economy both from a bank-specific viewpoint and also from a systemic viewpoint.
  • Compare and contrast the different methods of assessing the risk of banking institutions paying special attention to Value-at-Risk.
  • Discuss from a critical perspective the key risk control techniques (e.g., limit setting and risk budgeting), the Debit and Credit Value Adjustments (DVA and CVA), as well as credit scoring and other methods of credit risk assessment.
  • Comprehend the key roles that credit lines and collateral play in the operation of the banking system.
  • Critically reflect upon the task of authorities to ensure the smooth operation of banking institutions and of the financial system as a whole by conducting scenario analysis.