Face-to-Face Teaching: Generally 20 hours
Timetable: Detailed timetable for classes are on the Centre’s web site www.mafc.mq.edu.au
Students who wish to contact any of the teaching staff may do so through:
- The Unit’s iLearn site, in relation to general queries (so that all students may benefit); or
- Individual consultation with the lecturer by email in the first instance, if necessary.
REQUIRED AND RECOMMENDED TEXTS AND/OR MATERIALS
- Additional readings and spreadsheets critical to the unit are available on iLearn.
- Students should assume these readings and spreadsheets are examinable unless otherwise advised.
Lecture Notes: Available in printed form and electronically via iLearn.
- Students are required to work systematically through suggested problem sets. These problems will not be collected but they will help you prepare for the exam.
- Answers to the numerical practice problems are included in the unit notes and on iLearn.
Pre-Unit Materials: Information papers on statistics, regression, accounting and other material may be found at http://mafcstudents.mq.edu.au/new-to-mafc/pre-course-materials/. Students should work through this material prior to commencing the degree. The material will remain a useful reference as students progress through the program.
- Arvanitis, Angelo and Gregory, Jon. Credit. The Complete Guide to Pricing, Hedging and Risk Management, Risk Books (2001).
- Bluhm, Christian, Overbeck, Ludger and Wagner, Christoph. An Introduction to Credit Risk Modeling, Chapman and Hall (2003)
- Bohn, Jeffrey R. and Stein, Roger M. Active Credit Portfolio Management in Practice, Wiley Finance (2009)
- Caouette, John, Altman, Edward and Narayanan, Paul. Managing Credit Risk. The Next Great Financial Challenge, John Wiley and Sons (1998).
- Caouette, John, Altman, Edward, Narayanan, Paul and Nimmo, Robert. Managing Credit Risk. The Great Challenge of Global Financial Markets, John Wiley and Sons (2008).
- Gregory, Jon. Counterparty Credit Risk, John Wiley & Sons (2010)
- O’Kane, Dominic. Modelling Single-Name and Multi-Name Credit Derivatives, Wiley Finance (2008)
- Ong, Michael. Internal Credit Risk Models. Capital Allocation and Performance Measurement, Risk Books (1999).
- Saunders, Anthony and Allen, Linda. Credit Risk Measurement. New Approaches to Value at Risk and Other Paradigms, 2nd edition, John Wiley and Sons (2002).
- Saunders, Anthony and Allen, Linda. Credit Risk Measurement In and Out of the Financial Crisis. New Approaches to Value at Risk and Other Paradigms, 3rd edition, John Wiley and Sons (2010).
- Schönbucher, Philipp J. Credit derivatives pricing models, Wiley Finance (2003).
- Smithson, Charles W. Credit Portfolio Management, John Wiley and Sons (2003).
- A financial calculator that can handle time value of money calculations, logs and power functions is required.
- The Hewlett Packard calculator hp17bII+ is recommended.
- In examinations, hand held calculators are permitted. Mobile phones and computers are not permitted.
- Students are advised to review the Financial Risk Management notes before beginning this Unit, as knowledge of the credit material from that unit will be assumed, with limited revision.
- Familiarity with the concepts of modern portfolio theory and derivatives pricing, particularly the Black and Scholes option pricing model.
- Access to a computer with word processing and spreadsheet capability and internet access are assumed, as is general Student computer literacy.
- There is some EXCEL modelling work in the unit and students are advised to bring a laptop loaded with EXCEL to lectures.
TECHNOLOGY USED AND REQUIRED
Unit iLearn Site:
- Found by logging on to iLearn ilearn.mq.edu.au, then clicking on Credit Portfolio Management.
- This is where you will find forums, downloadable resources and links to important pages.
- The forum allows you to communicate with other students and lecturer(s) and may provide supplementary material.
- You are requested to post your questions on the forums at least 24 hours prior to the assignment submission date or the examination date. Questions posted after that time may not be answered. Please try to not leave your questions to the last few days.
- It is important that you familiarise yourself with the Unit’s iLearn site.
- Students should check the Unit’s iLearn site regularly (minimum twice a week and prior to all lectures) and look for updates and distribution of materials (including case studies) related to the unit or assessments and, if relevant, participate in forum discussions.