SubjectsSubjects(version: 845)
Course, academic year 2018/2019
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Credit Risk in Banking - NMFM537
Title in English: Kreditní riziko v bankovnictví
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2018 to 2018
Semester: winter
E-Credits: 3
Hours per week, examination: winter s.:2/0 Ex [hours/week]
Capacity: unlimited
Min. number of students: unlimited
State of the course: taught
Language: English
Teaching methods: full-time
Guarantor: Sebastiano Vitali, Ph.D.
Class: M Mgr. FPM
M Mgr. FPM > Volitelné
M Mgr. PMSE
M Mgr. PMSE > Povinně volitelné
Classification: Economics > Financial Economics
Mathematics > Financial and Insurance Math.
Annotation -
Last update: RNDr. Jitka Zichová, Dr. (16.05.2019)
During the lectures the basic introduction into the credit risk in banking industry will be given. At first the basic models for clients will be introduced (Altman model, logistic regression models etc.) for different types of clients (retail, corporate). The following lectures will deal with the basic notions concerning risk pricing (expected loss, unexpected loss). The students will get acquiant themselves with the standard credit risk models used in banking - Riskmetrics and Creditmetrics from JP Morgan, Credit Risk+ from Credit Swiss and Credit Portfolio View from McKinsey. At the same time the information about how the ideas of these models are reflected in banking legislative will be mentioned.
Aim of the course -
Last update: RNDr. Jitka Zichová, Dr. (16.05.2019)

The objective of the lecture is to give an overview of the methods connected with credit risk management: scoring, risk costs, portfolio value, Value At Risk. The students will learn the technique of logistic regression, the measurement of diversification power of scoring functions, the methods of risk costs estimation, i.e. the part of interest rate which cover the expected loss. In the last part of the lecture the VaR characteristic explanation and the methods of its estimation will be given. The lecture will make students acquainted with the current trends in credit risk management.

Course completion requirements
Last update: RNDr. Jitka Zichová, Dr. (27.04.2018)

Oral exam.

Literature - Czech
Last update: T_KPMS (14.05.2013)

[1] Hosmer, David W. and Stanley Lemeshow, Applied Logistic Regression, 2nd ed., New York; Chichester, Wiley, 2000, ISBN 0-471-35632-8.

[2] Creditmetrics, Technical document, J&P Morgan, New York 1977

Teaching methods -
Last update: T_KPMS (14.05.2013)

Lecture.

Requirements to the exam
Last update: Sebastiano Vitali, Ph.D. (12.10.2017)

The requirements for the exams follow the syllabus of the course and they are limited to presented topics at the lectures.

The exam consists of an oral examination.

Syllabus -
Last update: RNDr. Jitka Zichová, Dr. (16.05.2019)

Basic models for clients will be introduced (Altman model, logistic regression models etc.) for different types of clients (retail, corporate).

Basic notions concerning risk pricing (expected loss, unexpected loss).

Standard credit risk models used in banking - Riskmetrics and Creditmetrics from JP Morgan, Credit Risk+ from Credit Swiss and Credit Portfolio View from McKinsey.

 
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