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Unit information: Credit Risk in 2020/21

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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




School/department School of Accounting and Finance - Business School
Faculty Faculty of Social Sciences and Law

Description including Unit Aims

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.

Intended Learning Outcomes

On completion of the unit students will be able to

  1. Demonstrate knowledge of credit risk and why it needs to be measured
  2. Demonstrate understanding of models for the evaluation of the credit risk of individual corporations and instruments, following leading academic papers.
  3. Critically evaluate credit ratings
  4. Demonstrate understanding of credit risk within a portfolio context, employing the method of CreditMetrics.
  5. Use SAS software 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 Information

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

Assessment Information

This unit will be assessed by 2 pieces of coursework - 30% and 70%

Reading and References

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