| Unit name | Credit Risk |
|---|---|
| Unit code | EFIMM0067 |
| Credit points | 15 |
| Level of study | M/7 |
| Teaching block(s) |
Teaching Block 2 (weeks 13 - 24) |
| Unit director | Professor. Hill |
| Open unit status | Not open |
| Pre-requisites |
nil |
| Co-requisites |
nil |
| School/department | School of Accounting and Finance - Business School |
| Faculty | Faculty of Social Sciences and Law |
Understanding credit risk and the measurement of credit risk for both individual instruments and portfolios.
The unit will combine examination of leading academic papers, credit ratings-based literature, and a commonly employed industry-based model for determining portfolio credit risk (Credit Metrics - all material has been provided by the authors of the Credit Metrics system). The unit will be supported by computer lab workshops based in SAS software. The computer labs provide an opportunity for students to learn about SAS, a leading data analysis software system.
On completion of the unit students will be able to
(a) Construct models for the evaluation of the credit risk of individual corporations and instruments, following leading academic papers;
(b) Apply the Credit Metrics method to determine portfolio credit risk.
Teaching will be delivered through a combination of synchronous and asynchronous sessions including lectures, tutorials, drop-in sessions, discussion boards and other online learning opportunities
This unit will be assessed by 2 pieces of coursework - 30% and 70%
Key Books Available from the Library
Allison, Paul, 1995, “Survival Analysis Using SAS: A Practical Guide”
De Servigny, A., and Renault, O., Measuring and Managing Credit Risk. McGraw Hill
Other Key Reading 'Available from the Library
Booklet: CreditMetrics – Technical Document
