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.

SchoolLa Trobe Business School

Credit points15

Subject Co-ordinatorDoureige Jurdi

Available to Study Abroad/Exchange StudentsYes

Subject year levelYear Level 5 - Masters

Available as ElectiveNo

Learning ActivitiesN/A

Capstone subjectNo

Subject particulars

Subject rules

PrerequisitesN/A

Co-requisitesFIN5DER

Incompatible subjectsN/A

Equivalent subjectsN/A

Quota Management StrategyN/A

Quota-conditions or rulesN/A

Special conditionsN/A

Minimum credit point requirementN/A

Assumed knowledgeN/A

Readings

Risk Management and Financial Institutions

Resource TypePrescribed

Resource RequirementN/A

AuthorHull

Year2018

Edition/VolumeN/A

PublisherWiley

ISBNN/A

Chapter/article titleN/A

Chapter/issueN/A

URLN/A

Other descriptionN/A

Source locationN/A

Career Ready

Career-focusedNo

Work-based learningNo

Self sourced or Uni sourcedN/A

Entire subject or partial subjectN/A

Total hours/days requiredN/A

Location of WBL activity (region)N/A

WBL addtional requirementsN/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.

Subject options

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Start date between: and    Key dates

Melbourne (Bundoora), 2020, Semester 2, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Subject Instance Co-ordinatorDoureige Jurdi

Class requirements

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

Assessments

Assessment elementCommentsCategoryContributionHurdle% ILO*
Two hour final examination Equivalent to 2000 wordsN/AN/AN/ANo50 SILO1, SILO2, SILO3, SILO4, SILO5, SILO6
One hour mid-semester examination Equivalent to 1000 wordsN/AN/AN/ANo10 SILO1, SILO2, SILO3, SILO4, SILO6
Online and/or in-class formative assessment tasks Equivalent to 500 wordsN/AN/AN/ANo10 SILO2, SILO3, SILO5
Individual assignment 2000 word individual assignmentN/AN/AN/ANo30 SILO1, SILO2, SILO3, SILO4, SILO5, SILO6