Credit risk of corporate clients (in cooperation with Citi Bank) 2400-ZEWW876
The course will have the following content:
1. Introduction. Passing rules.
2. Definition of credit risk.
3. Types of credit risk: market risk, liquidity risk, operational risk, credit risk.
4. Types of credit risk 2: compliance, refutational, strategic, domestic.
5. Basic operating results of enterprises and credit risk.
6. The condition, liquidity and financial flexibility of enterprises.
7. Credit ratings. Case study.
8. The market and the needs of debt financing.
9. Introduction to the environment of R.
10. Fundamentals of Monte Carlo methods.
11. Credit Metrics Model.
12. VaR and its estimation.
13. Debate.
14. Exam.
15. Handing out certificates for Students.
Type of course
Course coordinators
Learning outcomes
Knowledge:
- The student understands the concept of credit risk.
- The student knows the basic types of risk.
- The student knows the relationship between the basic operational results of enterprises and their credit risk.
- The student knows the concepts of condition, liquidity and flexibility.
- The student knows the credit ratings.
- The student knows the basic methods of estimating Value at Risk.
Skills:
- The student knows how to monitor credit risk and distinguish its types.
- The student knows how to model credit risk using the R.
- The student is able to statistically analyze the results of credit risk.
- The student can analyze the operational results of enterprises and, using them, properly argue the choice of a credit rating.
- The student knows how to apply the basic elements of Monte Carlo methods.
- The student is able to use the concept of Value at Risk.
Social competence:
- The student is able to interact and work in a group during the analysis of case studies.
- The student is able to complete and improve the acquired knowledge and skills.
- The student understands the need for lifelong learning and improving professional competences.
- The student is able to independently implement and explain the operation of basic commands in the R environment.
Assessment criteria
2-hour exam at the end of the course. The exam consists of a multiple-choice test and a case study - (70% of the final grade)
Case study analyzed and presented in the group - (30% of the final grade)
Bibliography
- Patterson R. (2008), Kompendium terminów z zakresu rachunkowości w języku polskim i angielskim
- Jakubowski J., Sztencel R. (2001), Wstęp do teorii prawdopodobieństwa
- Siddiqi N. (2005), Credit Risk Scorecards: Developing and Implementing Intelligent Credit Scoring
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: