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.)

Cycle

Bachelor

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