GRA 6241 Risk Management in Banks - CANCELLED autumn 2021

GRA 6241 Risk Management in Banks - CANCELLED autumn 2021

Course code: 
GRA 6241
Department: 
Accounting and Operations Management
Credits: 
6
Course coordinator: 
Erlend Kvaal
Roar Hoff
Course name in Norwegian: 
Risk Management in Banks - CANCELLED autumn 2021
Product category: 
Master
Portfolio: 
Master of Accounting and Auditing
Semester: 
2021 Autumn
Active status: 
To be discontinued
Level of study: 
Master
Discontinued term: 
2021 Autumn
Teaching language: 
English
Course type: 
One semester
Introduction

This course is cancelled autumn 2021.

The experiences of the 2008 financial crisis have triggered a significant development of banks’ risk management. Not only the banks themselves have changed their approaches, also the regulators have taken a much more active role in overseeing the risk management functions in banks. The Basel Committee on Banking Supervision and the European Banking Authority have developed detailed guidelines on risk management, which are implemented by national authorities. Today, risk management competence is regarded as a core part of the banks’ business models.

Before the financial crisis, the focus in banks’ risk management was often on developing ever more sophisticated models for measuring and pricing complicated financial instruments and financial risks. After the crisis, the importance of strong governance in risk taking has come to the forefront in parallel with stricter capital and liquidity requirements. The society now expects banks to be proactive regarding the so-called ESG risks (Environmental, Social and Governance). However, in the Nordics, credit risk is still the dominant risk factor to the banks.  The course will reflect these developments and focus on how new and old risks can be managed in practice. Pricing and the use of financial derivatives are outside the scope of the course.

Learning outcomes - Knowledge

Students will get an overview of the banks’ business models and the risks they take. In addition, they will be informed about the regulatory framework that banks have to comply with.

Students will get a general understanding of the different risks in banking and how the major risks in savings and commercial banks can be identified, measured and managed. They will understand the concept of risk based capital requirements and standardised versus internal models, and will get in-depth knowledge of the elements of the credit risk measurement in the Basel formula (expected loss, unexpected loss, probability of default, loss given default, exposure at default and maturity).

Learning outcomes - Skills

Students will learn the needs for stress-testing and the difference between scenarios, sensitivity analysis and reverse stress-testing and understand the uncertainty when modelling loan losses on macroeconomic factors. Students will get a thorough knowledge of capital requirements and will be able to calculate capital adequacy ratios. Students will be made aware of practical pit-falls in risk management.   

Students will learn the relationship between prudential regulation and financial reporting as well as the system for handling distressed banks.

General Competence

Students will learn how to identify and deal with the most essential banking risks.

Course content
  • Banks’ business models
  • Credit risk
  • Liquidity and funding risks
  • Interest rate risk in the banking book
  • Operational risk
  • Non-financial risks (Environmental, Social and Governance risks - ESG)
  • Basel III regulations (capital and liquidity requirements)
  • Financial reporting of risks, incl  IFRS 9
  • Stress-testing
  • Governance and risk management processes - Three lines (of defense) model
  • Risk appetite
  • Recovery  / resolution

Internal Capital Adequacy Assessement Process (ICAAP) / Supervisory Review and Evaluation Process (SREP)

Teaching and learning activities

Lectures, 36 hours

Lectures by the instructor are key to providing the students the theory and concepts of risk management. Real-world examples will be used to illustrate key elements. Guest lectures will give insight to how risk management is organised and implemented in practice.

Software tools
No specified computer-based tools are required.
Qualifications

All courses in the Masters programme will assume that students have fulfilled the admission requirements for the programme. In addition, courses in second, third and/or fourth semester can have spesific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.

Covid-19 

Due to the Covid-19 pandemic, there may be deviations in teaching and learning activities as well as exams, compared with what is described in this course description.

Teaching 

Information about what is taught on campus and other digital forms will be presented with the lecture plan before the start of the course each semester.

Exam categoryWeightInvigilationDurationSupport materialsGroupingComment exam
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
GRA 62411
Grading scale:
ECTS
Grading rules:
-
Resit:
Examination when next scheduled course
80Yes3 Hour(s)
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Individual
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
GRA 62412
Grading scale:
ECTS
Grading rules:
-
Resit:
Examination when next scheduled course
20No 1 Week(s)Group/Individual ( 1 - 2)Term paper, groups of maximum two students, one week of preparation
Exams:
Exam category:Submission
Form of assessment:Written submission
Weight:80
Invigilation:Yes
Grouping (size):Individual
Support materials:
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Duration:3 Hour(s)
Comment:
Exam code: GRA 62411
Grading scale:ECTS
Resit:Examination when next scheduled course
Exam category:Submission
Form of assessment:Written submission
Weight:20
Invigilation:No
Grouping (size):Group/Individual (1-2)
Support materials:
Duration: 1 Week(s)
Comment:Term paper, groups of maximum two students, one week of preparation
Exam code: GRA 62412
Grading scale:ECTS
Resit:Examination when next scheduled course
Type of Assessment: 
Ordinary examination
Total weight: 
100
Sum workload: 
0

A course of 1 ECTS credit corresponds to a workload of 26-30 hours. Therefore a course of 6 ECTS credits corresponds to a workload of at least 160 hours.