Postgraduate Course: Credit Risk (CMSE11065)
Course Outline
| School |
Business School |
College |
College of Humanities and Social Science |
| Course type |
Standard |
Availability |
Available to all students |
| Credit level (Normal year taken) |
SCQF Level 11 (Postgraduate) |
Credits |
10 |
| Home subject area |
Common Courses (Management School) |
Other subject area |
None |
| Course website |
None |
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| Course description |
This course builds on a student’s knowledge gained in the core courses of the Programme on Introductory Econometrics, Risk Mathematics, Derivatives and Financial Markets. The course gives students a knowledge and understanding of certain techniques which are required by a lender for effective loan management and for compliance with capital requirement regulations. The course stops short of giving the students specific advanced modelling skills. The latter would require a further more advanced course. |
Entry Requirements
| Pre-requisites |
|
Co-requisites |
|
| Prohibited Combinations |
|
Other requirements |
None
|
| Additional Costs |
None |
Course Delivery Information
Summary of Intended Learning Outcomes
After having completed the course students will have gained the following.
(a) Knowledge and understanding of:
- the estimation, implementation and evaluation of internal and external risk rating systems for individual loans to corporate and retail borrowers;
- the methods of measuring and assessing the credit risk of portfolios of loans;
- the allocation of risk capital within a lending institution;
- the nature of the regulation of bank capital in the G10 countries and the requirements and difficulties of complying with that regulation.
(b) Intellectual skills
Students will develop analytical skills such as:
- the ability to interpret, understand and evaluate the methodology and outputs of classification algorithms;
- the ability to understand sources of dependency between groups of loans and how this might be measured and the implications for the risk.of a portflio;
- understand and interpret methods that indicate the level of risk in a portfolio.
(c) Professional/subject specific/practical skills
Students will gain:
- the ability make recommendations on how a lender can comply with regulatory capital requirements;
- an understanding of specific industry used tools such a the KMV Credit Monitor or Credit Metrics method of modelling portfolios of loans;
- an understanding of industry practice in risk management and specific techniques such as value at risk;
- an ability to understand speak and write the language of credit risk analysis.
(d) Transferable skills
By the end of the course students will be expected to:
- be able to communicate technically complex issues coherently and precisely;
- be able to advance reasoned and factually supported arguments in written work;
- have acquired lifelong learning skills and personal development so as to be able to work with self direction;
- have skills in time management and prioritisation.
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Assessment Information
| 100% examination. |
| Please see Visiting Student Prospectus website for Visiting Student Assessment information |
Special Arrangements
| Not entered |
Contacts
| Course organiser |
Prof Jonathan Crook
Tel: (0131 6)50 3802
Email: j.crook@ed.ac.uk |
Course secretary |
Ms Caroline Leburn
Tel: (0131 6)51 3854
Email: Caroline.Leburn@ed.ac.uk |
|
copyright 2010 The University of Edinburgh -
1 September 2010 5:45 am
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