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Banking A: Supervising Market and Credit Risks - AFCP956
This unit examines the tools used to measure market and credit risk. With respect to market risk, attention is focussed on the Value at Risk (VaR) model, its relation to other risk measures, its limitations and how the model is used by regulators. The unit also covers measurement of both retail and commercial credit risk, including credit risk modelling, and approaches to pricing and provisioning for credit risk. Stress testing and scenario analysis are also reviewed in this unit, including approaches to stress testing, scenario selection and fitting the institution to the model.
| Credit Points: | 2 |
| When Offered: | TBD - Not offered in the current year; next offering is to be determined |
| Staff Contact(s): | Associate Professor Robert Trevor |
| Prerequisites: |
Admission to MFinReg |
| Corequisites: | |
| NCCW(s): | |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
For unit timetable information and session dates for external offerings please visit the Timetables@Macquarie Website.