Credit risk assessment models

2024/2025

Academic Year

ENG

Instruction in English

3

ECTS credits

Delivered at:

Department of Finance

Course type:

Elective course

When:

4 year, 2 module

Instructor

Romanyuk, Kirill

Course Syllabus

Abstract

Credit risk is ubiquitous. People, companies and governments have a certain level of credit risk. The cost of an error in credit risk assessment can vary substantially, ranging from minor costs when a payment is delayed to a whole business shutdown when the economy is in the downfall like during the Global Financial Crisis of 2008. This course is focused on the whole process around credit risk modelling, starting from a game theoretic model to methods for measuring the efficiency of a credit risk model.

Learning Objectives

• The aim is to understand the basic credit risk models.

Expected Learning Outcomes

• Умение оценивать качество скоринговой модели.
• Умение разграничивать классы "хороших" и "плохих" клиентов.
• Умение строить скоринговую модель.
• Умение оценивать основные характеристики скоринговой модели.
• Умение оценивать многопериодные скоринговые модели.
• Понимание проблематики асимметрии информации при ценообразовании кредита.
• Умение оценивать основные характеристики кредитных рейтингов.
• Умение оценивать вероятность дефолта по рыночным ценам облигаций и кредитных дефолтных свопов.
• Ознакомление с портфельными рисками.
• Able to describe portfolio risks.
• Able to assess the credit risk based on market prices of bonds and credit default swaps
• Able to assess the credit risk associated with credit ratings.
• Able to describe the concept of information asymmetry.
• Able to evaluate the credit risk in multiperiod models.
• Able to assess the performance of a credit scorecard
• Able to calculate the optimal cutoff between "good" and "bad" classes of client.
• Able to construct a credit scorecard.

Course Contents

• Modelling lending decisions and constructing credit scorecards
• Measuring scorecard performance
• Multiperiod risk evaluation
• Risk based pricing
• Credit ratings
• Measuring credit risk based on market prices.
• Portfolio risk

Assessment Elements

• Контрольная работа 1
  Задачи с семинаров.
• Контрольная работа 2
  Задачи с семинаров.

Interim Assessment

• 2024/2025 2nd module
  0.6 * Контрольная работа 1 + 0.4 * Контрольная работа 2

Bibliography

Recommended Core Bibliography

• Credit scoring and its applications, Thomas, L., 2017
• Financial institutions management: a risk management approach, Saunders, A., 2018

Recommended Additional Bibliography

• Credit risk analytics: measurement techniques, applications, and examples in SAS, Baesens, B., 2016
• Financial risk manager handbook, Jorion, P., 2007

Authors

• ROMANYUK KIRILL ANDREEVICH
• SOLOVEVA EKATERINA EVGENEVNA