Fins5534. Strategic Management of Credit Risk and Loan Policy
2016, Semester 2
Due date and time: Tuesday 4th Oct, 4pm.
Value: 20% of total assessment.
o 3-6 members per group.
o Groups dont have to be the sa
Company funding strategies
and loan structuring
Funding/Loan Structuring 1 / 35
Credit facility and loan
Company funding strategies and loan structuri
Credit Migration Approach to Credit Risk Measurement
Credit Migration 1 / 45
CreditMetrics in 4 building blocks
Actuarial and Reduced-Form Approaches
to Measuring Credit Risk
Actuarial and Reduced-Form 1 / 42
Basic model for reduced form approach
Foreign Exchange Risk
Dr Lixiong Guo
Semester 2, 2016
This lecture discusses the measurement and management of
foreign exchange risk to which FIs are exposed to.
Source of foreign exchange risk.
Measurement of foreign exchange risk.
Company risk assessment
Risk assessment 1 / 48
Sources of risk
Sovereign and country risks
Industry and Mngt Risk
The Australian debenture market is very risky and less regulated. A number of issuers of
unlisted debentures collapsed including Banksia Financial Group. The main purpose of our
research is to find what Banksia reacted after they collaps