fin5crm credit risk mgt
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(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(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Discipline -Specific Knowledge and 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(Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Discipline -Specific Knowledge and 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(Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Discipline -Specific Knowledge and 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(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Discipline -Specific Knowledge and 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(Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Discipline -Specific Knowledge and 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(Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Personal and Professional Skills(Teamwork including leadership and working in groups,Autonomy and independence,Study and Learning 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(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Personal and Professional Skills(Teamwork including leadership and working in groups,Autonomy and independence,Study and Learning Skills)
- Personal and Professional Skills(Teamwork including leadership and working in groups,Autonomy and independence,Study and Learning Skills)
Subject options
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Melbourne, 2018, Semester 2, Day
Overview
Online enrolmentYes
Maximum enrolment sizeN/A
Enrolment information
Subject Instance Co-ordinatorDoureige Jurdi
Class requirements
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.
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.
Assessments
| Assessment element | Comments | % | 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 unit | 60 | 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 |