CREDIT RISK MANAGEMENT
FIN5CRM
2017
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 measureand manage a financial services firm exposure to market, credit and operationalrisk. 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.
School: La Trobe Business School
Credit points: 15
Subject Co-ordinator: Doureige Jurdi
Available to Study Abroad Students: Yes
Subject year level: Year Level 5 - Masters
Exchange Students: Yes
Subject particulars
Subject rules
Prerequisites: N/A
Co-requisites: FIN5DER
Incompatible subjects: N/A
Equivalent subjects: N/A
Special conditions: N/A
Graduate capabilities & intended learning outcomes
01. 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. 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. 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. 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. 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. 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)
Melbourne, 2017, Semester 2, Day
Overview
Online enrolment: Yes
Maximum enrolment size: N/A
Enrolment information:
Subject Instance Co-ordinator: Doureige Jurdi
Class requirements
LectureWeek: 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.
TutorialWeek: 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 element | Comments | % | ILO* |
|---|---|---|---|
| Group written assignment, excel project and oral presentation (2000 words per student) | 25 | 01, 02, 03, 04, 05, 06 | |
| one 2.5-hour final examination | 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 unit | 50 | 01, 02, 04, 05, 06 |
| one mid-semester examination (1.5 h) | 25 | 01, 02, 04, 05, 06 |