fin5crm credit risk mgt
CREDIT RISK MANAGEMENT
FIN5CRM
2019
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 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
Learning resources
Readings
| Resource Type | Title | Resource Requirement | Author and Year | Publisher |
|---|---|---|---|---|
| Readings | Risk Management and Financial Institutions | Prescribed | Hull, 2018 | Wiley |
| Discipline Specific | Articles provided on LMS | Prescribed | Various authors | Various publishers |
Graduate capabilities & intended learning outcomes
01. 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. 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. 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. 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. Mitigate credit risk exposure using derivative securities.
- 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, 2019, 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-hour final examination (3000 words equivalent) | Hurdle requirement: Students must achieve at least 50% in the final examination. | 60 | 01, 02, 03, 04, 05, 06, 07, 08 |
| One mid-semester examination (1.5hr and broadly equivalent to 1500 words) | 30 | 01, 02, 03, 04, 06, 07, 08 | |
| Two quizzes (Theory/Applications/Cases) 30 minutes each (500 words equivalent) | 10 | 02, 03, 05, 08 |