Modiwl ASB-4416:
Credit Risk Analytics & Programming

Ffeithiau’r Modiwl

Rhedir gan Bangor Business School

15.000 Credyd neu 7.500 Credyd ECTS

Semester 1

Trefnydd: Dr Edward Jones

Amcanion cyffredinol

Credit risk analytics is one of the most successful uses of statistical modelling within financial institutions but its success isn’t only concerned with data and models; it requires a thorough understanding of business cycles and debt patterns, regulatory requirements, and the integration of quantitative techniques into the strategic management process.

The module examines the theory and practice of credit risk analytics and decision science in financial institutions. Topics include: the Merton default model, philosophy of risk analytics and scoring, default and losses calculations, validation, capital (both economic and regulatory) calculations, and credit portfolio management. Particular emphasis will be placed on topical areas within quantitative methods and regulatory requirements. The module will make extensive use of Excel and students will use trading software to gain practical experience of the methods discussed.

Cynnwys cwrs

Monte Carlo, Bootstrapping, The Merton model (incl. structural default models), Scoring models, Loss Given Default (LGD) modelling, Default correlations, Credit portfolio risk, Validation of PD models, Bank capital calculations/Risk Weighted Assets.

Meini Prawf

trothwy

C- to C+ Demonstration of the required knowledge and techniques but with significant mistakes and little development of the subject beyond lecture material.

da

B- to B+ Clear understanding of the subject, together with evidence of investigation and understanding of theoretical and application, but with some minor errors.

ardderchog

A- to A* Excellent grasp of the concepts and techniques together with significant evidence of engagement and understanding of the theory and application in this area.

Canlyniad dysgu

  1. Critically evaluate the role of risk analytics within financial institutions, and its integration in the credit assessment process and strategic decision making

  2. Develop and evaluate the performance of a credit risk quantitative models

  3. Comprehend and critically analyse the role of probability of default, loss given default, and exposure at default in bank capital calculations and regulatory requirements

  4. Develop skills to implement and evaluate learning outcomes in Excel

  5. Demonstrate a broad and in-depth understanding of the role of risk analytics in meeting regulatory requirements and policies

  6. Perform a detailed assessment of the different aspects of risk-based pricing and profit maximisation

Dulliau asesu

Math Enw Disgrifiad Pwysau
Assignment 25.00
Final Examination 75.00

Strategaeth addysgu a dysgu

Oriau

Sgiliau Trosglwyddadwy

  • Llythrennedd - Medrusrwydd mewn darllen ac ysgrifennu drwy amrywiaeth o gyfryngau
  • Rhifedd - Medrusrwydd wrth ddefnyddio rhifau ar lefelau priodol o gywirdeb
  • Defnyddio cyfrifiaduron - Medrusrwydd wrth ddefnyddio ystod o feddalwedd cyfrifiadurol
  • Hunanreolaeth - Gallu gweithio mewn ffordd effeithlon, prydlon a threfnus. Gallu edrych ar ganlyniadau tasgau a digwyddiadau, a barnu lefelau o ansawdd a phwysigrwydd
  • Archwilio - Gallu ymchwilio ac ystyried dewisiadau eraill
  • Adalw gwybodaeth - Gallu mynd at wahanol ac amrywiol ffynonellau gwybodaeth
  • Sgiliau Rhyngbersonol - Gallu gofyn cwestiynau, gwrando'n astud ar atebion a'u harchwilio
  • Dadansoddi Beirniadol & Datrys Problem - Gallu dadelfennu a dadansoddi problemau neu sefyllfaoedd cymhleth. Gallu canfod atebion i broblemau drwy ddadansoddiadau ac archwilio posibiliadau
  • Cyflwyniad - Gallu cyflwyno gwybodaeth ac esboniadau yn glir i gynulleidfa. Trwy gyfryngau ysgrifenedig neu ar lafar yn glir a hyderus.
  • Gwaith Tîm - Gallu cydweithio'n adeiladol ag eraill ar dasg gyffredin, ac/neu fod yn rhan o dîm gweithio o ddydd i ddydd
  • Dadl - Gallu cyflwyno, trafod a chyfiawnhau barn neu lwybr gweithredu, naill ai gydag unigolyn neu mewn grwˆp ehangach
  • Hunanymwybyddiaeth & Ystyried - Bod yn ymwybodol o'ch cryfderau, gwendidau, nodau ac amcanion eich hun. Gallu adolygu ,cloriannu a myfyrio'n rheolaidd ar eich perfformiad eich hun ac eraill.

Adnoddau

Goblygiadau o ran adnoddau ar gyfer myfyrwyr

None.

Rhestr ddarllen

Resti, A. and Sironi, A. (2007) Risk management and shareholders’ value in banking. Wiley.

Cyrsiau sy’n cynnwys y modiwl hwn