COURSE INFORMATION
Course Title: ADVANCED CREDIT ANALYSIS AND MANAGEMENT
Code Course Type Regular Semester Theory Practice Lab Credits ECTS
BAF 802 C 2 3 0 5 3 10
Lecturer and Office Hours: Uğur Ergün
Second Lecturer(s): NA
Teaching Assistant(s) and Office Hours: NA
Language: English
Compulsory/Elective: Elective
Classroom and Meeting Time:
Course Description: This course covers cutting-edge topics of credit risk management in a rigorous yet inspiring way.
Course Objectives: To help students to develop and apply comprehensive and in depth knowledge of concepts, systems and techniques at the leading edge of credit management To develop an advanced understanding of the role of credit, the credit department and credit manager To develop strategic thinking and written communication skills To develop research, analytical and evaluative skills
COURSE OUTLINE
Week Topics
1 Credit Risk Analysis and Management The relationship between liquidity risk and credit risk in banksOriginal Research Article Journal of Banking & Finance, Volume 40, March 2014, Pages 242-256 BjörnImbierowicz, Christian Rauch
2 Fundamental Firm Level Risks Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality? Journal of Banking & Finance, In Press, Accepted Manuscript, ZanginaIsshaq, Robert Faff Corporate tax avoidance and stock price crash risk: Firm-level analysis. Journal of Financial Economics, Volume 100, Issue 3, June 2011, Pages 639-662. Jeong-Bon Kim, Yinghua Li, Liandong Zhang
3 External Risks Bank risks, monetary shocks and the credit channel in Brazil: Identification and evidence from panel data. Journal of International Money and Finance, Volume 55, July 2015, Pages 135-161. Julio Ramos-Tallada A new dynamic modeling framework for credit risk assessment. Expert Systems with Applications, Volume 45, 1 March 2016, Pages 341-351. Maria Rocha Sousa, João Gama, ElísioBrandão
4 Entity Level Risks and Financial Risks Credit rationing and relationship lending. Does firm size matter? Journal of Banking & Finance, Volume 53, April 2015, Pages 249-265 Stefano Cenni, Stefano Monferrà, Valentina Salotti, Marco Sangiorgi, Giuseppe Torluccio
5 Financial Risks Financial openness, domestic financial development and credit ratings. Finance Research Letters, Volume 16, February 2016, Pages 11-18. Eugenia Andreasen, Patricio Valenzuela Liquidity and credit risk before and after the global financial crisis: Evidence from the Korean corporate bond market. Pacific-Basin Finance Journal, Volume 33, June 2015, Pages 38-61. Dongheon Shin, Baeho Kim
6 Credit Risk in project finance Credit-spread determinants and interlocking contracts: A study of the Ras Gas project. Journal of Financial Economics, Volume 86, Issue 1, October 2007, Pages 248-278 MansoorDailami, Robert Hauswald Asset financing with credit risk. Journal of Banking & Finance, Volume 37, Issue 1, January 2013, Pages 43-59. Steven Golbeck, Vadim Linetsky
7 Credit Risk in Working Capital Working Capital Management Efficiency: A Study on the Small Medium Enterprise in Malaysia. Procedia Economics and Finance, Volume 35, 2016, Pages 297-303 Farrah WahiedaKasiran, NorediAzhar Mohamad, Othman Chin Do capital flows change domestic credit allocation? Journal of International Money and Finance, Volume 62, April 2016, Pages 98-121. Anna Samarina, Dirk Bezemer
8 Credit Portfolio Risks Portfolio credit-risk optimization. Journal of Banking & Finance, Volume 36, Issue 6, June 2012, Pages 1604-1615. Ian Iscoe, Alexander Kreinin, Helmut Mausser, OleksandrRomanko Risk factor contributions in portfolio credit risk models. Journal of Banking & Finance, Volume 34, Issue 2, February 2010, Pages 336-349. Dan Rosen, David Saunders
9 Credit Risk Pricing Arbitrage-free credit pricing using default probabilities and risk sensitivities. Journal of Banking & Finance, Volume 35, Issue 2, February 2011, Pages 268-281. Andreas Blöchlinger Pricing nondiversifiable credit risk in the corporate Eurobond market. Journal of Banking & Finance, Volume 31, Issue 8, August 2007, Pages 2233-2263. J. Abaffy, M. Bertocchi, J. Dupačová, V. Moriggia, G. Consig
10 Security The effect of credit guarantees on credit availability and delinquency rates. Journal of Banking & Finance, Volume 59, October 2015, Pages 98-110. Kevin Cowan, Alejandro Drexler, Álvaro Yañez Reexamining the empirical relation between loan risk and collateral: The roles of collateral liquidity and types. Journal of Financial Intermediation, Volume 26, April 2016, Pages 28-46. Allen N. Berger, W. Scott Frame, VassoIoannidou Trade credit, collateral liquidation, and borrowing constraints. Journal of Financial Economics, Volume 96, Issue 3, June 2010, Pages 413-432. Daniela Fabbri, Anna Maria C. Menichini
11 Credit Crises Credit booms, banking crises, and the current account. Journal of International Money and Finance, Volume 60, February 2016, Pages 360-377. J. Scott Davis, Adrienne Mack, Wesley Phoa, Anne Vandenabeele Credit booms, financial fragility and banking crises. Economics Letters, Volume 136, November 2015, Pages 233-236. David Fielding, Johan Rewilak Credit information sharing and banking crises: An empirical investigation. Journal of Macroeconomics, Volume 34, Issue 3, September 2012, Pages 788-800. BerrakBüyükkarabacak, Neven Valev
12 Project Presentation and discussion
13 Writing a conclusion and revision of the project
14 Review
Prerequisite(s):
Textbook: Ciby Joseph (2013). Advanced Credit Risk Analysis and Management 1st Edition. Wiley
Other References:
Laboratory Work:
Computer Usage:
Others: No
COURSE LEARNING OUTCOMES
1 • Students should acquire an advanced understanding of the underlying theory credit risk management
2 • Students should develop research, analytical and evaluative skills and implement them in real life issues
COURSE CONTRIBUTION TO... PROGRAM COMPETENCIES
(Blank : no contribution, 1: least contribution ... 5: highest contribution)
No Program Competencies Cont.
PhD ECO BAF Program
COURSE EVALUATION METHOD
Method Quantity Percentage
Project
1
50
Term Paper
1
50
Total Percent: 100%
ECTS (ALLOCATED BASED ON STUDENT WORKLOAD)
Activities Quantity Duration(Hours) Total Workload(Hours)
Course Duration (Including the exam week: 16x Total course hours) 16 3 48
Hours for off-the-classroom study (Pre-study, practice) 16 3 48
Mid-terms 1 20 20
Assignments 2 25 50
Final examination 1 40 40
Other 2 22 44
Total Work Load:
250
Total Work Load/25(h):
10
ECTS Credit of the Course:
10