In the current financial environment of uncertainty and volatility, effective credit risk management is crucial. You'll study a range of approaches from credit ratings to structural and reduced approaches to access credit risk.
You'll also explore techniques and tools used by companies and financial institutions to manage this risk. Using real case data, you’ll learn how to use credit risk models in assessing companies' credit risk and evaluate their risk management techniques, which is vital for a successful career in finance.
Total contact hours: 36
Private study hours: 114
Total study hours: 150
Main assessment methods
Group Written Essay (2000 words) (40%)
Examination, 2 hour (60%)
Reassessment method;
100% Exam
Ashcroft, A.B and Schuermann, T (2008). Understanding the Securitization of Subprime Mortgage Credit. Federal Reserve Bank of New York Staff Reports, No. 318.
Cont, R. (Ed.) (2008). Frontiers in quantitative finance. New Jersey: John Wiley & Sons Inc de Servigny, A. and Renault, O.(2004) Measuring and Managing Credit Risk. New York: McGraw-Hill
Gregory, J. (2010). Counterparty Credit Risk: The New Challenge for Global Financial Markets.
Chichester: John Wiley & Sons
Malz, A.M. (2011). Financial Risk Management: Models, History, and Institutions. New Jersey: John Wiley & Sons
Stulz, R.M. (2002). Risk Management & Derivatives. Kentucky: Cengage Learning South-Western.
See the library reading list for this module (Canterbury)
The intended subject specific learning outcomes.
On successfully completing the module students will be able to:
- Learn about various securities with different types of credit risks, such as corporate debt, sovereign debt, credit derivatives, and structured products.
- Understand and implement various qualitative and quantitative methods for credit risk evaluation based on borrowers' data.
- Assess credit risk in a portfolio context.
- Critically discuss market-based credit risk models.
- Identify and discuss credit risk management techniques.
The intended generic learning outcomes.
On successfully completing the module students will be able to:
- Solve complex financial problems.
- Develop analytical skills necessary for the analysis of credit risk and identification of appropriate methods for its management.
- Plan work and study independently and make use of the relevant resources in a way which reflects best current practices and anticipated future practice.
- Develop their numeracy, quantitative and academic writing skills.
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