Market and Credit Risk Analysis (764N1)
15 credits, Level 7 (Masters)
You assess market risk and credit risk and study the foundations of market risk analysis and the basic Value at Risk (VaR) models.
- the mapping of portfolios to risk factors
- the construction of covariance matrices and their application to the market risk of portfolios. VaR and ETL is computed at the portfolio level using historical and Monte Carlo simulation and, where possible, analytic solutions and the results are compared and backtested.
Your study of credit risk covers:
- credit scoring models
- counterparty credit risk (especially credit exposure, default, and recovery processes) and credit spreads
- portfolio models of credit risk
- credit valuation adjustments (CVA).
30%: Coursework (Problem Set)
70%: Examination (Unseen examination)
Contact hours and workload
This module is approximately 150 hours of work. This breaks down into about 32 hours of contact time and about 118 hours of independent study. The University may make minor variations to the contact hours for operational reasons, including timetabling requirements.
This module is running in the academic year 2019/20. We also plan to offer it in future academic years. It may become unavailable due to staff availability, student demand or updates to our curriculum. We’ll make sure to let our applicants know of such changes to modules at the earliest opportunity.
This module is offered on the following courses: