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FIN344 Credit Risk Management

This subject focuses on the management of credit risk. It examines the concept of credit risk and discusses the development of credit risk management. Importantly, it details an institutional framework for understanding how credit risk arises and how it is managed, especially in relation to ratings agency assessments and credit scoring. It examines the range of credit products and the risks associated with providing these products. This subject will particularly explore the issues that arise in assessing, managing and monitoring credit risk. From a practical perspective, the subject examines the lessons from some of the more prominent credit events of the past thirty years, including the Sub-Prime Credit Crisis of 2008. The subject focuses on the identification, measurement and mitigation of credit risk from the perspective of financial institutions, corporates and investors. Finally the subject also examines Basel II and III in regards to credit risk and how credit risk is regulated in Australia through the Australian Prudential Regulation Authority.

This subject contributes to the Risk Management major.

For more information, please refer to the subject outline.

  • Learning outcomes
    • At the completion of this subject students should be able to:

      1. Explain the concept and types of credit risk
      2. Assess credit risk in a range of different scenarios
      3. Evaluate credit derivatives instruments and how they are used in a range of different scenarios
      4. Analyse a range of credit products
      5. Analyse the regulatory framework for credit risk in Australia and internationally
  • Subject content
    • Topic Title
      Topic 1 Introduction to credit risk
      Topic 2 The nature of credit
      Topic 3 Credit risk and regulation
      Topic 4 Assessing credit risk
      Topic 5 Credit products and their risks I
      Topic 6 Credit products and their risks II
      Topic 7 Credit derivatives and their role in credit risk management
      Topic 8 Credit risk portfolio management
      Topic 9 Advanced credit risk management methods
  • Assessment
  • Prerequisites
    • Students enrolling in a Masters level elective subject are assumed to have the pre-requisite knowledge in the four core subjects (FIN101, FIN102, FIN103 and FIN114 (for students enrolled before 2014)).

      Kaplan recommends that students complete the following Kaplan Online subjects (or have a thorough working knowledge of the content) prior to enrolling in this subject:

  • Reading list
    • Prescribed Text

      • Bouteille, S and Coogan-Pushner, D 2013, The Handbook of Credit Risk Management: Originating, Assessing, and Managing Credit Exposures, John Wiley & Sons. ISBN 978-1118300206

      The prescribed text for FIN343 Market Risk Management includes some coverage of credit risk. This can be used as a supplementary text.

      • Allen, S 2013, Financial risk management: a practitioner’s guide to managing market and credit risk, John Wiley & Sons. ISBN 9781118175453

       

      Retailers of educational books include Co-op Bookshop and Boffins Bookshop. Texts can also be borrowed from the Kaplan library or other libraries. Details of required and further reading are provided in the subject room.  Purchase of any text other than a prescribed text is not required.