Кто читает:: Банковский институт

Статус:: Курс по выбору

Когда читается:: 2-й курс, 2 модуль

Abstract

Credit ratings play a crucial role in the decision-making on investment and management of financial institutions around the world. This course is focused mostly on national and international rating agencies, rating modeling, and scales and processes. A special atten-tion is paid to methodological differences among rating agencies and quantitative tech-niques of rating scales, as well as government regulatory practices in banking and fi-nance. In addition, this course provides overviews how credit ratings are assigned and used in financial institutions. Finally, it covers issues of using different types of credit ratings, simultaneously.

Learning Objectives

The main goal is providing to the students information how to distinguish and analyze the key issues for creation and application of internal and external bank ratings.

Expected Learning Outcomes

Students will be able to: • highlight the key methodological differences in both international and national rating agencies; • apply the best practices to assign ratings to different types of economic agents (banks, corpo-rates, government authorities STI); • design the relevant and robust system of internal credit ratings for a financial organization; • include internal and external credit ratings in the banking control system of financial risks.

Course Contents

1) The concept of credit ratings: international and national rating agencies, internal credit rat-ings
2) Features of ratings for various types of economic agents.
3) The regulatory use of credit ratings
4) Analysis of ratings from different rating agencies
5) Creating a system of internal credit ratings
6) Creating a risk management system using external and internal credit ratings.

Assessment Elements

home assignment
class discussions
exam

Interim Assessment

Interim assessment (2 module)
0.2 * class discussions + 0.6 * exam + 0.2 * home assignment

Bibliography

Recommended Core Bibliography

Besedovsky, N. (2018). Financialization as calculative practice: the rise of structured finance and the cultural and calculative transformation of credit rating agencies. Socio-Economic Review, 16(1), 61–84. https://doi.org/10.1093/ser/mwx043
Huong Vu, (DE-588)1028493932, (DE-576)375970649. (2017). What drives differences of opinion in sovereign ratings? : the roles of information disclosure and political risk / Huong Vu, Rasha Alsakka, Owain ap Gwilym. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edswao&AN=edswao.494683872

Recommended Additional Bibliography

Oversight of the credit rating agencies post-Dodd-Frank [electronic resource] : hearing before the Subcommittee on Oversight and Investigations of the Committee on Financial Services, U.S. House of Representatives, One Hundred Twelfth Congress, first session, July 27, 2011. (2012). Washington : U.S. G.P.O., 2012. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsgpr&AN=edsgpr.ocn789131328
Reforming credit rating agencies [electronic resource] : hearing before the Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises of the Committee on Financial Services, U.S. House of Representatives, One Hundred Eleventh Congress, first session, September 30, 2009. (2010). Washington : U.S. G.P.O., 2010. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsgpr&AN=edsgpr.ocn641262498

Магистерская программа «Финансовый аналитик»

Контакты:

Ratings

Course Syllabus