Postgraduate - UnitAFF5380 - Credit risk modelling

This unit entry is for students who completed this unit in 2012 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.

print version

6 points, SCA Band 3, 0.125 EFTSL

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered, or view unit timetables.

Level	Postgraduate
Faculty	Faculty of Business and Economics
Offered	Caulfield Second semester 2012 (Evening)

Synopsis

This unit develops knowledge and improves skills in credit risk modelling by using market information to predict defaulted firms. The topics discussed will provide an understanding of their relative merits, the issues involved in their implementation and their use in the pricing and risk management of credit risk. This unit assists practitioners and students alike to understand better the use of credit risk models and moves them away from the proverbial Black Box scenario.

Outcomes

The learning goals associated with this unit are to:

develop credit risk modelling using Altman and Ohlson models
develop an understanding of credit risk modelling approaches
analyse the Merton structural model and implications for credit analysis
analyse the term structure of credit spreads and probabilities of default
analyse implications of alternative ways to model recovery
develop correlations between default rates and recovery
develop copula based approach to modelling default dependence
apply critical thinking, problem solving and presentation skills to individual and / or group activities dealing with credit risk modelling and demonstrate in an individual summative assessment task the acquisition of comprehensive understanding of the topics covered by AFF5380.