CREDIT RISK MANAGEMENT

FIN5CRM

2020

Credit points: 15

Subject outline

Credit risk is one of the key risks facing the financial services industry. It has received considerable attention by regulators following the global financial crisis. In this subject you will examine a range of credit risk models and management techniques applied to credit sensitive assets. You will survey the current regulatory environment affecting risk management frameworks at banks and apply models to measure credit and counterparty risks. You will also have a hands-on approach and apply a range of strategies and models often 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 degree which is aligned with the curriculum of the GARP FRM designation.

School: La Trobe Business School (Pre 2022)

Credit points: 15

Subject Co-ordinator: Doureige Jurdi

Available to Study Abroad/Exchange Students: Yes

Subject year level: Year Level 5 - Masters

Exchange Students: No

Available as Elective: No

Learning Activities: N/A

Capstone subject: No

Subject particulars

Subject rules

Prerequisites: N/A

Co-requisites: FIN5DER

Incompatible subjects: N/A

Equivalent subjects: N/A

Quota Management Strategy: N/A

Quota-conditions or rules: N/A

Special conditions: N/A

Minimum credit point requirement: N/A

Assumed knowledge: N/A

Learning resources

Risk Management and Financial Institutions

Resource Type: Book

Resource Requirement: Prescribed

Author: Hull

Year: 2018

Edition/Volume: N/A

Publisher: Wiley

ISBN: N/A

Chapter/article title: N/A

Chapter/issue: N/A

URL: N/A

Other description: N/A

Source location: N/A

Career Ready

Career-focused: No

Work-based learning: No

Self sourced or Uni sourced: N/A

Entire subject or partial subject: N/A

Total hours/days required: N/A

Location of WBL activity (region): N/A

WBL addtional requirements: N/A

Graduate capabilities & intended learning outcomes

Graduate Capabilities

DISCIPLINE KNOWLEDGE AND SKILLS

INQUIRY AND ANALYSIS - Creativity and Innovation

INQUIRY AND ANALYSIS - Critical Thinking and Problem Solving

INQUIRY AND ANALYSIS - Research and Evidence-Based Inquiry

Intended Learning Outcomes

01. Identify credit risk drivers and ways to manage counterparty credit risk.

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

03. Model and estimate the probability of default using a range of models (structural, hazard type and calculate the transition matrix.

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

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

06. Examine methods to mitigate credit risk exposure using derivative securities.

Melbourne (Bundoora), 2020, Semester 2, Day

Overview

Online enrolment: Yes

Maximum enrolment size: N/A

Enrolment information: N/A

Subject Instance Co-ordinator: Doureige Jurdi

Class requirements

LectureWeek: 31 - 43
One 2.00 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 1.00 hour tutorial per week on weekdays during the day from week 31 to week 43 and delivered via face-to-face.

Assessments

Assessment element	Comments	Category	Contribution	Hurdle	%	ILO*
Two hour final examinationEquivalent to 2000 words	N/A	N/A	N/A	No	50	SILO1, SILO2, SILO3, SILO4, SILO5, SILO6
One hour mid-semester examinationEquivalent to 1000 words	N/A	N/A	N/A	No	10	SILO1, SILO2, SILO3, SILO4, SILO6
Online and/or in-class formative assessment tasksEquivalent to 500 words	N/A	N/A	N/A	No	10	SILO2, SILO3, SILO5
Individual assignment2000 word individual assignment	N/A	N/A	N/A	No	30	SILO1, SILO2, SILO3, SILO4, SILO5, SILO6