| Unit name | Credit Risk |
|---|---|
| Unit code | EFIMM0009 |
| 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 |
None |
| Co-requisites |
None |
| School/department | School of Economics, Finance and Management |
| Faculty | Faculty of Social Sciences and Law |
Understanding credit risk and the measurement of credit risk for both individual instruments and portfolios.
Learning what credit risk is and why it needs to be measured Learning models for the evaluation of the credit risk of individual corporations and instruments. Learning about correlated defaults and the measurement of portfolio credit risks Learning to build credit models in SAS software (via introductory tutorial and workbook assignments)
10 x 2 hour lectures 1 x 2 hour tutorial (computer based) 8 x 1 hour clinics to support 5 x Computer Based Workbooks
30% completion of workbook assignments 70% two hour examination
Credit Risk: Pricing, Measurement and Management. Duffie and Singleton. Princeton Series in Finance Credit Risk Management. Van Gestel and Baesens. Oxford University Press. Introduction to Credit Risk Modeling. Bluhm, Overbeck and Wagner. Chapman & Hall/ CRC Financial Mathematics Series. Credit Risk Modeling: Theory and Applications. Lando. Princeton Series in Finance
