CREDIT RISK MANAGEMENT

FIN5CRM

2016

Credit points: 15

Subject outline

Credit risk is a new frontier in finance post the global financial crisis. Credit risk is the risk of financial loss due to a counterparty failure to perform its contractual obligations. In this subject students will examine a range of credit risk models and management techniques applied to credit sensitive portfolios. The subject addresses recent regulatory and market developments related to credit and counterparty 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 firm or portfolio's exposure to market, credit and operational risk, respectively. Taken together these three subjects form the specialisation which defines the Master of Financial Analysis (Financial Risk Management) and aligns it to the curriculum of the leading globally recognised professional accreditation in financial risk management, the Financial Risk Manager (FRM) accreditation.

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 conditionsN/A

Graduate capabilities & intended learning outcomes

01. APPLICATION: Demonstrate a high level of personal autonomy, creativity and initiative in applying theoretical concepts to analysing modeling a firm exposure to credit risk factors and critically reflect on the effectiveness of the theoretical concepts to explain this exposure.

Activities:
Lectures and tutorials
Related graduate capabilities and elements:
Information Literacy (Information Literacy)
Creative Problem-solving (Creative Problem-solving)
Critical Thinking (Critical Thinking)

02. APPLICATION: Demonstrate a high level of personal autonomy, creativity and initiative in defining strategies, which apply the knowledge and skills, to managing a firm exposure to credit risk

Activities:
Lectures and tutorials
Related graduate capabilities and elements:
Creative Problem-solving (Creative Problem-solving)

03. APPLICATION: Demonstrate abilities to model and solve credit risk problems using Excel.

Activities:
Tutorials and written group assignment
Related graduate capabilities and elements:
Information Literacy (Information Literacy)

04. KNOWLEDGE: Demonstrate a knowledge and understanding of the theoretical concepts associated with the measurement and management of credit risk that includes an understanding of recent developments in the risk management discipline and profession

Activities:
Lectures and tutorials
Related graduate capabilities and elements:
Ethical Awareness (Ethical Awareness)

05. SKILL: Demonstrate individually and in groups the cognitive, technical and creative skills to define, research and measure a firm to credit risk factors

Activities:
Lectures and tutorials
Related graduate capabilities and elements:
Inquiry/ Research (Inquiry/ Research)
Creative Problem-solving (Creative Problem-solving)
Critical Thinking (Critical Thinking)
Teamwork (Teamwork)

06. SKILL: Demonstrate the communication skills needed to justify and interpret, recent empirical events, theoretical propositions, methodologies, conclusions and professional advice in relation to measuring and managing a firm exposure to credit risk.

Activities:
Tutorials and written group assignment
Related graduate capabilities and elements:
Ethical Awareness (Ethical Awareness)
Teamwork (Teamwork)
Information Literacy (Information Literacy)
Writing (Writing)
Speaking (Speaking)
Creative Problem-solving (Creative Problem-solving)

Subject options

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Start date between: and    Key dates

Melbourne, 2016, Semester 2, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorDoureige Jurdi

Class requirements

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.

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.

Assessments

Assessment elementComments% ILO*
Group written assignment, excel project and oral presentation25 01, 02, 03, 04, 05, 06
one 3-hour final examinationHurdle 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 unit50 01, 02, 04, 05, 06
one 90 minute mid-semester examination25 01, 02, 04, 05, 06