Module delivery information

Location Term Level1 Credits (ECTS)2 Current Convenor3 2022 to 2023
Canterbury
Spring Term 7 15 (7.5) Ortenca Kume checkmark-circle

Overview

Topics are:

Introduction of default risk concept and credit risk-related securities.
Credit rankings (internal and external rating) and the role of credit rating agencies, credit migration.
Default prediction and credit scoring models.
Default dependencies.
Credit risk portfolio models (risk-adjusted performance, stress-testing portfolio losses).
Corporate bonds and yield spreads.
Default risk pricing models (structural models and reduced-form models).
Market default models: (CreditRisk+, Credit Metrics™, KMV model).
Credit derivatives and credit risks of derivatives.

Details

Contact hours

Total contact hours: 36
Private study hours: 114
Total study hours: 150

Method of assessment

Main assessment methods
Group Written Essay (2000 words) (40%)
Examination, 2 hour (60%)

Reassessment method;
100% Exam

Indicative reading

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)

Learning outcomes

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.

Notes

  1. Credit level 7. Undergraduate or postgraduate masters level module.
  2. ECTS credits are recognised throughout the EU and allow you to transfer credit easily from one university to another.
  3. The named convenor is the convenor for the current academic session.
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