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Unit information: Credit Risk in 2016/17

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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




School/department School of Economics, Finance and Management
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.

Intended Learning Outcomes

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)

Teaching Information

10 x 2 hour lectures 1 x 2 hour tutorial (computer based) 8 x 1 hour clinics to support 5 x Computer Based Workbooks

Assessment Information

30% completion of workbook assignments 70% two hour examination

Reading and References

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