BFC5380 Credit risk modelling
Faculty of Business and Economics
BFC5380 Credit risk modelling is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics. It isn't offered in 2020. It needs ETF5930 or BFC5914.
- Credit points
- 6
- Offered in 2020
- Not offered
- Workload
- 144 hours
- per semester
This is the 2020 handbook entry. See the 2021 entry.
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Requisites
Before BFC5380
Prerequisites
Pass these before you enrol.
After BFC5380
No unit lists BFC5380 as a prerequisite in the 2020 handbook.
Enrolment rules
Students must be enrolled in course B6001, B6003 or B6004.
Overview
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.
Offerings in 2020
The 2020 handbook lists no offerings for BFC5380.
Learning outcomes
When you finish this unit, you should be able 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 BFC5380.
Workload and teaching
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.
Contacts
- Chief Examiners
- Dr Jean-Pierre Fenech
Common questions
What are the prerequisites for BFC5380?
You need ETF5930 or BFC5914 before you enrol. Enrolment rules also apply.
When is BFC5380 offered?
BFC5380 has no offerings listed in the 2020 handbook.
How much work is BFC5380?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
More details
- Credit points
- 6
- Level
- 5
- Study level
- Postgraduate
- Faculty
- Faculty of Business and Economics
- Organisational unit
- Department of Banking and Finance
- Type
- Coursework
- EFTSL
- 0.125
- Student contribution
- SCA Band 3
- Study abroad
- Not available
- Handbook years
- 20202021