Credit Portfolio Management (ECFS896)

This unit will not be offered in 2018.

In this unit students are exposed to some of the key tools and techniques available for the assessment and management of credit risk in the context of portfolios of loans or other credit exposures. The unit follows on from the credit topics introduced in Financial Risk Management and aims to provide a more in depth understanding of portfolios of credit risk including characteristics such as correlation and concentration risk. Topics cover active credit portfolio management in banks; the regulatory environment; credit derivatives and structured credit (CDOs); and the rapidly developing area of counterparty credit risk.

Learning Outcomes:

  1. Understand the development of credit risk management in relation to products and markets from the point of view of participants and regulators.
  2. Understand the main tools of single name credit risk, with a view to comparing the key estimation methods, and with particular reference to PD, LGD, EAD and the financial ratio, structural and hazard models.
  3. Analyse the application of correlation and investment theory concepts to building credit portfolio models.
  4. Describe the development of the credit derivatives market and demonstrate an understanding of the main products in that market and the origins of the sub-prime crisis, with particular reference to CDOs.
  5. Apply the main tools of credit portfolio modelling to active credit portfolio management in banks and funds, from both an institutional and a regulatory perspective.
  6. Understand the evolution of capital adequacy standards for banks, from Basel I to Basel III.
  7. Understand the developing area of counterparty credit risk and its integration into the overall view of credit portfolio risks.


  1. Evolution of Credit Risk Management
  2. Credit Models - Portfolio
  3. Credit Derivatives and Structured Credit
  4. Active Credit Portfolio Management
  5. Counterparty Credit Risk

Prerequisite Units:


Unit Guides:

  • Credit Portfolio Management - The link will provide a list of guides for this unit. If the desired term/location is not listed, please view the latest one available.

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