FINC629-21S1 (C) Semester One 2021

Credit Risk Management

15 points

Details:
Start Date: Monday, 22 February 2021
End Date: Sunday, 27 June 2021
Withdrawal Dates
Last Day to withdraw from this course:
  • Without financial penalty (full fee refund): Sunday, 7 March 2021
  • Without academic penalty (including no fee refund): Friday, 14 May 2021

Description

Management of Credit Risks

Learning Outcomes

Specific leaning aims include an understanding of:
- The drivers of credit risk
- Methods to measure and manage credit risk
- The role of credit derivatives in credit risk management
- The features of structured products such as mortgage-backed securities
- The valuation of fixed income securities with and without embedded options
- The strengths and weaknesses of portfolio credit risk models
- Global financial crisis 2007-2009

Pre-requisites

Subject to approval of the Head of Department

Timetable 2021

Students must attend one activity from each section.

Lecture A
Activity Day Time Location Weeks
01-P1 Monday 15:00 - 17:00 Jack Erskine 242
22 Feb - 4 Apr
26 Apr - 2 May
10 May - 30 May
01-P2 Monday 15:00 - 17:30 Jack Erskine 242
3 May - 9 May

Examination and Formal Tests

Test A
Activity Day Time Location Weeks
01 Thursday 14:30 - 17:30 Jack Erskine 446
31 May - 6 Jun

Course Coordinator

Huong Dang

Assessment

Assessment Due Date Percentage  Description
Group presentation 20%
Group project report 40%
Final test 40% Comprehensive test (whole semester)

Textbooks / Resources

Recommended Reading

Fabozzi, Frank J. , Anson, Mark Jonathan Paul; Fixed income analysis ; 2nd ed; John Wiley & Sons, 2007.

Jorion, Philippe; Financial risk manager handbook plus test bank : FRM Part I/Part II ; 6th ed; John Wiley & Sons, 2011.

Indicative Fees

Domestic fee $992.00

* All fees are inclusive of NZ GST or any equivalent overseas tax, and do not include any programme level discount or additional course-related expenses.

Minimum enrolments

This course will not be offered if fewer than 5 people apply to enrol.

For further information see Department of Economics and Finance .

All FINC629 Occurrences

  • FINC629-21S1 (C) Semester One 2021