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25850 Credit Risk

Requisite(s): 25855c Fundamentals of Derivative Security Pricing AND 25856 Probability Theory and Stochastic Processes
The lower case 'c' after the subject code indicates that the subject is a corequisite. See definitions for details.
These requisites may not apply to students in certain courses. See access conditions.


The Global Financial Crisis has highlighted the need for sophisticated credit risk management as well as the danger of blindly applying complex models without a thorough understanding of their underlying assumptions and limitations. This subject addresses these issues, providing insight into what can and can't be done using quantitative models for credit risk — and how to do what can be done. It introduces students to state-of-the-art mathematical models for credit risk, resulting in an understanding of their relative merits, the issues involved in their implementation and their use in the pricing and risk management of credit risk and credit derivatives.

Detailed subject description.

Fee information

Information to assist with determining the applicable fee type can be found at Understanding fees.

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at access conditions and My Student Admin.