Credit Risk Modeling

2024/2025

Academic Year

ENG

Instruction in English

3

ECTS credits

Delivered at:

Department of Finance

Course type:

Elective course

When:

2 year, 1 module

Course Syllabus

Abstract

Main goal of this course is to provide an overview of the framework and practical tools of risk management in banking. During the course we will cover the most material types of risks relevant to commercial bank, how to estimate this risks and how to embed this estimates in core banking business activities (new business, pricing, product structuring and etc.) Educational process will consist of analyzing ppt presentations on each topic, illustrative examples in excel, Russian/European regulatory guidelines and other open information (IFRS reporting, regulatory reports, market researches and reports). Students will conduct qualitative and quantitative researches in order to extent general concepts which would be presented on lections

Learning Objectives

• The course will give the student a basic understanding of banking products and operations
• The course will give the student a basic understanding of practical tools used to manage risks on the abovementioned products and operations

Expected Learning Outcomes

• Understand the main components of the Balance sheet and the PL of a commercial bank
• Understand the main components of banking products and operations (granting loans, attracting deposits, trading of financial instruments, hedging banking and trading book, etc.)
• Understand basic quantitative and qualitative instruments used in the management of Credit, Market, Operational, Liquidity, Interest rate, FX and ESG risks

Course Contents

• Foundations of risk management
• Credit risks
• Liquidity risk
• Interest rate risk of banking book

Assessment Elements

• Business case
• Exam

Interim Assessment

• 2024/2025 1st module
  0.4 * Business case + 0.6 * Exam

Bibliography

Recommended Core Bibliography

• Financial Risk Management, Eales, B. A., 1995
• Основы риск-менеджмента : учебное пособие, Кулик, В. В., 2016

Recommended Additional Bibliography

• Advanced Strategies in Financial Risk Management, , 1993
• Elements of financial risk management, Christoffersen, P. F., 2012
• Peter Christoffersen. (2012). Elements of Financial Risk Management: Vol. 2nd ed. Academic Press.

Authors

• SOLOVEVA EKATERINA EVGENEVNA