(in Polish) Modelowanie ryzyka kredytowego na rynku finansowym 2600-DIz1MRKRF
The following aspects will be discussed:
• Fundamentals of credit risk modelling (i.e. what is default risk? exposure, default and recovery processes, credit loss distribution, expected and unexpected losses, recovery rates),
• Credit exposure (i.e. pre-settlement versus settlement risk, exposure profiles, exposure profiles of standard debt obligations, exposure profiles of derivatives, exposure mitigation, netting agreements, collateral, other instruments for reducing counterparty risk),
• Default and credit migration (i.e. probabilities of default and term structures of default rates, credit ratings, measurement of rating accuracy, rating agencies, methodology, transition matrices, probabilities of default and credit migration),
• Credit scoring models and internal rating models (i.e. credit ratings, estimation of probabilities of default, other methods of determining probabilities of default),
• Market-implied probabilities of default (i.e. pricing of calibration instruments, calculation of implied probabilities of default),
• Credit ratings and credit spreads,
• Portfolio models of credit losses,
• Credit migration frameworks (i.e. Credit VaR for a single debt/loan; estimation of correlations of rating changes and defaults; Credit VaR for a portfolio of debt/loans),
• Conditional transition probabilities – the Credit Portfolio View model,
• The contingent claims approach to credit risk assessment,
• The KMV approach,
• The actuarial approach,
• Calculation of capital for credit risk.
Type of course
Learning outcomes
After completing the course, the student:
In terms of knowledge
K_W01
The student knows and deeply understands the specialized terminology and research methodology used in credit risk modelling.
K_W02
The student knows and deeply understands the principles, procedures and practices of financial markets related to credit risk assessment and management, including methods of determining credit ratings and probabilities of default.
K_W05
The student knows and understands complex economic, technological and regulatory processes and phenomena affecting the level of credit risk in financial institutions and is able to explain their significance.
In terms of skills
K_U01
The student is able to use theories of economics and finance as well as quantitative tools to identify, analyse and solve problems related to credit risk modelling, including the estimation of probabilities of default, credit losses and measures such as Credit VaR.
K_U02
The student is able to correctly interpret complex economic, market and regulatory phenomena affecting credit risk, in particular changes in credit ratings.
In terms of social competences
K_K01
The student is ready to critically assess the methods and models used in the measurement of credit risk, including their assumptions, limitations and consequences for the stability of financial institutions and the functioning of financial markets.
Assessment criteria
Written assessment (exam with open questions and problem-solving tasks), project.
Up to 2 absences are allowed.
Course completion requirements:
• written on-site exam – open, tabular and closed questions,
• project.
A total of 100 points can be obtained, which determines the final grade:
• 0–50% – grade 2 (fail)
• 51–60% – grade 3
• 61–70% – grade 3.5
• 71–80% – grade 4
• 81–90% – grade 4.5
• 91–100% – grade 5
Bibliography
Chodnicka-Jaworska, P. (2019). Credit rating. Determinanty i wpływ na rynek finansowy. Polskie Wydawnictwo Ekonomiczne.
PRMIA. (2015). The PRM Handbook - Book 4: Practices for Credit and Counterparty Credit Risk Management. Professional Risk Managers' International Association.
Anthony Saunders, Metody pomiaru ryzyka kredytowego, Dom wydawniczy Abc 2001