CREDIT RISK MANAGEMENT

FIN5CRM

2018

Credit points: 15

Subject outline

Credit risk is one of the key risks facing the financial services industry. It has received considerable attention following the global financial crisis. You will examine a range of credit risk models and management techniques applied to credit sensitive assets. You will examine current regulatory and market developments related to credit and counterpart risks and provides a hands-on approach to applying a range of strategies and models used by the industry. This subject is one of three subjects which consider how to measure and manage a financial services firm exposure to market, credit and operational risk. Taken together these three subjects form the Financial Risk Management specialisation of the Master of Financial Analysis (FRM) degree which is aligned with the curriculum of the GARP FRM designation. 

SchoolLa Trobe Business School

Credit points15

Subject Co-ordinatorDoureige Jurdi

Available to Study Abroad StudentsYes

Subject year levelYear Level 5 - Masters

Exchange StudentsYes

Subject particulars

Subject rules

PrerequisitesN/A

Co-requisites FIN5DER

Incompatible subjectsN/A

Equivalent subjectsN/A

Special conditions Core in courses: LGCM; LGFRM

Graduate capabilities & intended learning outcomes

01. Understand the role of banks, identify credit risk drivers and ways to manage counterparty credit risk.

Activities:
Lectures and tutorials
Related graduate capabilities and elements:
Discipline -Specific Knowledge and Skills

02. Understand and apply current prudential and regulatory requirements for credit risk such as the BASEL 3 credit capital framework for credit risk.

Activities:
Lectures and tutorials
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

03. Be able to model and estimate the probability of default using a range of models (structural, hazard type) and calculate the transition matrix.

Activities:
Lectures and Tutorials
Related graduate capabilities and elements:
Literacies and Communication Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

04. Apply credit risk models to a single claim and portfolios, and be able to assess the performance of credit portfolios.

Activities:
Lectures and tutorials
Related graduate capabilities and elements:
Literacies and Communication Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

05. Understand and apply a range of credit scoring models for corporations and sovereigns.

Activities:
Lectures and tutorials
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

06. Understand credit risk in structured products and apply credit default swaps and other derivatives to manage credit risk exposure.

Activities:
Lectures and tutorials
Related graduate capabilities and elements:
Literacies and Communication Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

07. Demonstrate abilities to model and solve credit risk problems using Excel.

Activities:
Lectures and tutorials
Related graduate capabilities and elements:
Literacies and Communication Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Personal and Professional Skills

08. Be able to communicate technically complex issues in a coherent and precise manner.

Activities:
Tutorials
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Personal and Professional Skills
Personal and Professional Skills

Subject options

Select to view your study options…

Start date between: and    Key dates

Melbourne, 2018, Semester 2, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorDoureige Jurdi

Class requirements

Tutorial Week: 31 - 43
One 1.0 hours tutorial per week on weekdays during the day from week 31 to week 43 and delivered via face-to-face.

Lecture Week: 31 - 43
One 2.0 hours lecture per week on weekdays during the day from week 31 to week 43 and delivered via face-to-face.

Assessments

Assessment elementComments% ILO*
One 3.0-hour final examination (3000 words equivalent)Hurdle requirement: Students must achieve at least 50% in the final examination as well as a total of 50% in the sum of the marks for all assessment tasks to pass the unit60 01, 02, 03, 04, 05, 06, 07, 08
One mid-semester examination (1.5 h) (1500 words equivalent)30 01, 02, 03, 04, 06, 07, 08
Two quizzes (Theory/Applications/Cases) 30 minutes each (500 words equivalent)10 02, 03, 05, 08