Postgraduate Course: Credit Risk Management (MATH11061)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Course type | Standard |
Availability | Available to all students |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Credits | 15 |
| Home subject area | Mathematics |
Other subject area | Financial Mathematics |
| Course website |
None |
Taught in Gaelic? | No |
| Course description | This course will:
! introduce students to quantitative models for measuring and managing credit risks
! provide students with a critical understanding of the credit risk methodology used in the financial industry
! give students an appreciation of the regulatory framework in which the models operate |
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
| Additional Costs | None |
Information for Visiting Students
| Pre-requisites | None |
| Displayed in Visiting Students Prospectus? | Yes |
Course Delivery Information
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| Delivery period: 2012/13 Semester 2, Not available to visiting students (SS1)
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WebCT enabled: No |
Quota: None |
| Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
| No Classes have been defined for this Course |
| First Class |
First class information not currently available |
| No Exam Information |
Summary of Intended Learning Outcomes
On completion of this course the student should be able to:
! Demonstrate an understanding of the nature of credit risk,
! Describe the theoretical underpinnings of models used in the financial industry,
! Show a knowledge of the regulatory framework and, in particular, the Basel II regulatory capital formula,
! Describe how dependence is modelled in credit portfolios,
! Describe mixture models of default and derive their mathematical properties,
! Describe and use methods for calculating the portfolio loss distribution,
! Describe and apply statistical approaches to calibrating credit risk models,
! Explain the features and uses of the most common single-name products and basket derivatives,
! Show an appreciation of the interface between academic theory and industrial practice,
! Show an appreciation of the societal role of risk management in protecting the consumer and other stakeholders,
! Demonstrate the ability to learn independently and as part of a group,
! Manage time, work to deadlines and prioritise workloads,
! Demonstrate skills in the understanding and processing of numerical information and interpretation of statistics,
! Show knowledge of appropriate software for implementing solutions. |
Assessment Information
| Examination 70%, Project 30%. Examination held at Heriot-Watt University. |
Special Arrangements
| None |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Not entered |
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords | CRM |
Contacts
| Course organiser | Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: |
Course secretary | Mrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: |
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