units

BFF5380

Faculty of Business and Economics

18 September 2017 22 December 2024

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This unit entry is for students who completed this unit in 2016 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.

Monash University

6 points, SCA Band 3, 0.125 EFTSL

Postgraduate - Unit

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

Faculty

Business and Economics

Organisational Unit

Department of Banking and Finance

Offered

Caulfield

  • Second semester 2016 (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:

  1. develop credit risk modelling using Altman and Ohlson models
  2. develop an understanding of credit risk modelling approaches
  3. analyse the Merton structural model and implications for credit analysis
  4. analyse the term structure of credit spreads and probabilities of default
  5. analyse implications of alternative ways to model recovery
  6. develop correlations between default rates and recovery
  7. develop copula based approach to modelling default dependence
  8. 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 BFF5380.

Assessment

Within semester assessment: 100%

Workload requirements

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

See also Unit timetable information

Chief examiner(s)

Dr Jean Fenech

Prerequisites

Students must have passed AFF9140, BFF5914, ETF5930 or ETF9300 before undertaking this unit.

Co-requisites

Students must be enrolled in course 3818, 4412 or 3850 to undertake this unit.

Prohibitions

AFF5380