2018/2019

Потребительское кредитование

Статус: Майнор

Кто читает: Департамент финансов

Где читается: Санкт-Петербургская школа экономики и менеджмента

Когда читается: 3, 4 модуль

Преподаватели: Романюк Кирилл Андреевич

Язык: английский

Кредиты: 5

Контактные часы: 60

Course Syllabus

Abstract

The discipline "Consumer lending" does not require the mandatory preliminary development of other disciplines. Effective risk management is one of the main tasks of the bank. This course provides the necessary understanding of how the bank manages risks when working in the consumer lending sector.

Learning Objectives

• Introducing students to the specifics of the consumer lending sector and acquiring the ability to choose the best option for lending.
• Introducing students to the specifics of the consumer lending sector and acquiring the ability to choose the best option for lending.

Expected Learning Outcomes

• A student can critically evaluate and rethink the accumulated experience (one's own and another's), think about professional and social activities.
• The student can prepare the initial data for calculating the economic and socio-economic indicators characterizing the results of the study of the subject.
• The student is able to critically evaluate the proposed solutions and develop and substantiate proposals for their improvement, taking into account the criteria of socio-economic efficiency, risks and possible socio-economic consequences.

Course Contents

• Consumer credit sector survey (6 hours)
  History of credit. History of credit scoring. The global consumer credit sector. The Russian consumer credit sector. Credit bureaus in different countries.
• Economic theory behind consumer lending (16 hours)
  Budget line. Microeconomic issues. Macroeconomic issues. Changes in credit over time.
• Credit risk modelling (12 hours)
  PD (probability of default), LGD (loss given default), EAD (exposure at default), recovery rate. Model calibration. Stress testing.
• Credit scoring models (8 hours)
  Types of credit scoring models. The difference between "good" and "bad" clients. Clients' data. The most popular credit scoring models: logistics regression, neural networks, decision trees, etc.
• Quality assessment of credit scoring models (12 hours)
  Sample selection. Kolmogorov-Smirnov statistics. ROC-curve. I type error. II type error.
• Regulations of the consumer credit sector (6 hours)
  International Financial Reporting Standards (IFRS). Regulations of the Bank of Russia. Basel agreements. The USA mortgage credit sector before the financial crisis of 2008.

Assessment Elements

• Midterm1
  Written assignment 60min
• Midterm № 2
  writting assignment 60 min
• Экзамен
  Written assignment 80 minutes
• Проект

Interim Assessment

• Interim assessment (4 module)
  0.25 * Midterm № 2 + 0.25 * Midterm1 + 0.2 * Проект + 0.3 * Экзамен

Bibliography

Recommended Core Bibliography

• Siddiqi, N. (2017). Intelligent Credit Scoring : Building and Implementing Better Credit Risk Scorecards (Vol. 2nd edition). Hoboken, New Jersey: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1441143

Recommended Additional Bibliography

• Gietzen, T. (2017). Credit Scoring vs. Expert Judgment – A Randomized Controlled Trial. Working Papers on Finance. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.p.usg.sfwpfi.201709