"Pg Diploma Certificate Template - DOC"
Form 20 Heriot-Watt University - Module Descriptor Template (RAY) Version 3.0 (2007/2008) Module Title School MACS On or Off- On Credit Risk Modelling Campus Module MSc QRM Course Director SCQF 11 Module Semester 2 Credits 15 Co-ordinator Level Code 1. Pre-requisites None 2. Linked Modules (specify if synoptic) 3. Excluded Modules 4. Replacement Module Code: New module replacing 5. Availability as an Yes No F71CR + F71CD from Elective X Date Of Replacement: Sep 09 6. Degrees for which this is a core module MSc/PG Diploma/PG Certificate in Quantitative Risk Management; MSc/PG Diploma/PG Certificate in Financial Mathematics 7. Aims The aims of this module are: to introduce students to quantitative models for measuring and managing credit risks to provide students with a critical understanding of the credit risk methodology used in the financial industry to give students an appreciation of the regulatory framework in which the models operate 8. Syllabus The module covers the following topics: Introduction to credit risk: credit-risky instruments, defaults, ratings Merton’s model of the default of a firm Common industry models (KMV, CreditMetrics,CreditRisk+) Modelling dependence between defaults with factor models Latent variable and mixture models of default The Basel II regulatory capital formula Calculating the portfolio credit loss distribution Large portfolio behaviour of the credit loss distribution Calibration and statistical inference for credit risk models Overview of the more common single-name and portfolio/basket credit derivatives 1/2 Form 20 Heriot-Watt University - Module Descriptor Template (RAY) Version 3.0 (2007/2008) Module Title School MACS On or Off- On Credit Risk Modelling Campus Module MSc QRM Course Director SCQF 11 Module Semester 2 Credits 15 Co-ordinator Level Code 9. Learning Outcomes (HWU Core Skills: Employability and Professional Career Readiness) Subject Mastery Understanding, Knowledge and Cognitive Skills Scholarship, Enquiry and Research (Research-Informed Learning) On completion of this module the student should be able to: Demonstrate an understanding of the nature of credit risk Describe the theoretical underpinnings of models used in the financial industry Show a knowledge of the regulatory framework and, in particular, the Basel II regulatory capital formula Describe how dependence is modelled in credit portfolios Describe mixture models of default and derive their mathematical properties Describe and use methods for calculating the portfolio loss distribution Describe and apply statistical approaches to calibrating credit risk models Explain the features and uses of the most common single-name products and basket derivatives Personal Abilities Industrial, Commercial & Professional Practice Autonomy, Accountability & Working with Others Communication, Numeracy & ICT Show an appreciation of the interface between academic theory and industrial practice Show an appreciation of the societal role of risk management in protecting the consumer and other stakeholders Demonstrate the ability to learn independently and as part of a group Manage time, work to deadlines and prioritise workloads Demonstrate skills in the understanding and processing of numerical information and interpretation of statistics Show knowledge of appropriate software for implementing solutions 10. Assessment Methods 11. Re-assessment Methods Method Duration of Exam Weighting (%) Synoptic modules? Method Duration of Exam (if applicable) (if applicable) Examination 2 hours At least 70% Examination 2 hours project Up to 30% 12. Date and Version Date of Proposal November 2008 Date of Approval by Date of September 2009 Version 1 School Committee Implementation Number 2/2