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 |
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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
Pre-requisites |
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Co-requisites |
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Prohibited Combinations |
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Other requirements |
None
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Additional Costs |
None |
Course Delivery Information
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Delivery period: 2010/11 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 |
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% |
Please see Visiting Student Prospectus website for Visiting Student Assessment information |
Special Arrangements
Not entered |
Contacts
Course organiser |
Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary |
Mrs Katherine Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
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copyright 2010 The University of Edinburgh -
1 September 2010 6:19 am
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