Portal
Credit Risk Management
Brief description
• Risk types, risk identification and quantification, risk control • Basic risk parameters of an individual loan: Default probability, LGD, exposure and maturity • Classes of borrowers • Creditworthiness analysis, scoring and rating to determine borrowers’ default probability • Quantification, taking collateral into account • Austrian Banking Act provisions on capital funds backing of loans • Management of a credit portfolio: acceptance behaviour, pricing, limits • Securitisation • Loan derivatives
Mode of delivery
face to face
Type
compulsory
Recommended or required reading and other learning resources/tools
Caouette, Altman et al. (2008): Managing Credit Risk: The Great Challenge for Global Financial Markets, Wiley, New York, 8th edition. Jorion (2011): Financial Risk Manager Handbook, Wiley, 6th ed.
Planned learning activities and teaching methods
Lecture, discussion of cases with students, e-learning, calculating credit risk examples, presentation in plenary session
Assessment methods and criteria
Continuous assessment (student contributions in class) and written exam
Prerequisites and co-requisites
Fixed Income, financial mathematics, statistics, options
Infos
Degree programme
Banking and Finance (engl.)
ECTS Credits
3.00
Language of instruction
English
Curriculum
Full-Time
Academic year
2025
Semester
3 WS
Incoming
No
Learning outcome
After successful completion of the course, students can • explain the problems of risk management in a bank • interpret the relevant risk parameters of an individual loan and describe the relevant methods of quantifying these risk parameters • demonstrate their competence in estimating these risk parameters, • explain the main provisions on capital funding for loans in accordance with the Austrian Banking Act • explain the basic instruments of credit risk management • independently analyse and assess problems in credit risk management with regard to qualitative and quantitative aspects
Course code
1229-19-01-VZ-EN-24