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DEGREE REGULATIONS & PROGRAMMES OF STUDY 2011/2012
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DRPS : Course Catalogue : School of Mathematics : Mathematics

Postgraduate Course: Credit Risk Management (MATH11061)

Course Outline
SchoolSchool of Mathematics CollegeCollege of Science and Engineering
Course typeStandard AvailabilityAvailable to all students
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) Credits15
Home subject areaMathematics Other subject areaFinancial Mathematics
Course website None Taught in Gaelic?No
Course descriptionThis 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-requisitesNone
Displayed in Visiting Students Prospectus?Yes
Course Delivery Information
Delivery period: 2011/12 Semester 2, Not available to visiting students (SS1) 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
KeywordsCRM
Contacts
Course organiserDr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk
Course secretaryMrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk
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© Copyright 2011 The University of Edinburgh - 16 January 2012 6:25 am