UNIVERSITAS INDONESIA
FAKULTAS EKONOMI & BISNIS
DEPARTEMEN MANAJEMEN
PROGRAM STUDI MAGISTER MANAJEMEN
SYLLABUS
CREDIT RISK MANAGEMENT
ECMM802538
ODD SEMESTER (2022/2023)
Lecturers
No. Name E-mail
1 Dr. Dewi Hanggraeni, MBA [email protected]
2 Wimboh Santoso, S.E., M.Sc., Ph.D.
Subject Code ECMM802538
Subject Title CREDIT RISK MANAGEMENT
Credit Value 2 Credits
Year/Semester
Day/Hour
Subject Type Compulsory
Pre-requisite/ Statistic for Business, Market Risk Management
Co-requisite/
Exclusion
Role and Purposes Roles:
This course discusses the process of credit risk management. The credit process
includes how to identify, measure, monitor and report, as well as controlling existing
credit risk. Credit risk is the economic losses incurred due to the failure of customers or
counterparties to fulfil contractual obligations in both the retail and corporate loans.
The impact of the loss or credit risk is measured by the cost to be borne by the
company.
In this course students will be invited to discuss how credit risk management process is,
using the approach of regulators such as Bank Indonesia regulation and Basel as well as
internal approach. Regulatory provisions discussed included Basel I Accords and Basel II
Accords credit risk regulatory. While the internal approach will discuss Credit Metric,
Credit Risk + and other approaches.
Purpose: (LO)
Students who take risk management concentration need to have knowledge about
credit risk management. By taking this course, students can deepen their
knowledge about credit risk management so that students have a complete
knowledge of credit risk management for the company which is widely used in
practice. Discussing about Credit Risk Management is
organized as follows: The first section describes the regulations of Bank
Indonesia and Basel - Basel Committee on Banking Supervision (BCBS) on risk
management, especially credit risk. The second section describes the credit risk
and the basic approach to rate and credit migration rating. The third section
demonstrated how to measure the amount of credit risk using internal approaches.
In the fourth section will discuss capital at risk and
RAROC to credit risk.
Subject Learning Objectives Subjects:
Outcomes 1. MM-FEBUI graduates should demonstrate integrity, ethical behaviour, and
respect for diversity.
2. MM-FEBUI graduates should demonstrate concerns towards the society.
3. MM-FEBUI graduates should demonstrate effective leadership qualities.
a. MM-FEBUI graduates should have effective communication skill within global
setting.
4. MM-FEBUI graduates should be able to conduct applied business research.
5. MM-FEBUI graduates should exhibit entrepreneurial spirit.
6. MM-FEBUI should demonstrate creativity and innovative thinking.
7. MM-FEBUI graduates should be able to formulate business models using
contemporary approaches.
AACSB Learning Goal (LG) and Learning Objective (LO) (TLA):
1. LG: Critical Thinking – Students are able to demonstrate that they are critical
thinkers.
LO: Students are able to argue and draw conclusion on an issue based on supportive
evidence in business cases (LO1).
Traits: Deliver key ideas/points (T1); Comparison, Evaluation and Analysis (T2);
Demonstrate ability to justify an argument with supporting evidence/relevant
references (T3).
2. LG: Written Communication Skills – Students are able to demonstrate
written communication skill
LO: Students are able to convey the idea briefly, clearly, and persuasively through
written communication (LO2).
Traits: Focus and organization (T1); Language, spelling, and grammar (T2).
3. LG: Oral Communication Skills – Students are able to demonstrate oral
communication skills.
LO: Students are able to present their business ideas properly (LO3).
Traits: Introduction (T1); Content (T2); Organization of presentation (T3); Visual aids
(T4); Voice (T5); Pace (T6); Audience engagement (T7).
Subject Synopsis/ Week# Topics Sub Topic Reading Materials
Indicative Syllabus
For each topic: Part 1: Regulation of Risk Management
LO3 1 General rules of risk General PBI, SEBI, POJK, SE OJK,
management information
for commercial banks. on the CGM Bab 1-3;
Regulator’s
LO1 Three Pillars of Risk rules PJ Bab 1-3; DH Bab 3; BCBS
Management
Framework and Introduction to
Credit Risk.
Part 2: Standard Credit Risk and Credit Rating
LO1, T3 2 Prinsip dasar pengelolaan risiko Konsep CGM Bab 10-
kredit dan regulasinya di dasar, 11; SR Bab 4;
Indonesia Value-at- PJ Bab 18;
LO1, T3 Risk (VaR) PBI, POJK
dan risiko BCBS, related journals.
LO1, T3 kredit
seperti
default
LO1, T3 rates dan
LO1, T3 loss given
default
(LGD),
serta
membedak
an 4 model
kredit:
migrasi
kredit,
contingent
claim,
actuarial,
dan
reduced
form
3 Analisis statistik dasar dalam Practice to CGM Bab 9; LP Bab 1,2;
risiko kredit dan mengukur credit measure TB Bab 3,6
score menggunakan pendekatan risk.
logit Presentation
& discussion
LO1, T3 4 Pengukuran risiko kredit Cohort, LP Bab 3, 4, 5
menggunakan matriks transisi hazard rate,
dan menaksir probability of Backtesting.
default Presentation
& discussion
LO1, T3
LO1, T3 5 Memahami perbedaan risiko Practice to DH Bab 4, 6
kredit pada perbankan syariah measure IFSB (Islamic Financial
dan konvensional risiko kredit Services Board)
LO1, T3 perbankan
syariah. Related Journal
Presentation
& discussion
Mid Semester Exam
Part 3: Internal Credit Risk Measurement Systems
LO1, T3 6 Menaksir korelasi dan kerugian Practice to LP Bab 6;
kredit measure TB Bab 11
korelasi dan
LO1, T3 kerugian
kredit
LO1, T3 7 Pendekatan contingent claim Contingent TB 14; LP 12; BCBS
untuk pengukuran risiko kredit. claim, single-
period
LO1, T3 contingent
cash flows
LO1, T3 8 Internal rating. Practice to LP Bab 7; JPM
measure
internal rating
(IRBA)
Presentation
& discussion
Part 4: Risk Capital dan RAROC
LO1, T3 9 Pengukuran risiko default Presentation LP Bab 8, 9; CFSB
berdasarkan harga pasar & discussion
LO1, T3
10 Pendekatan migrasi kredit dan Presentation PJ Bab 15, 16, 17;
Credit Metrics. & discussion CGM Bab 17
related journals.
Final Semester Exam
Teaching/Learning
Teaching method In accordance with the provisions of the program study, students are required to
uses: attend lectures at least 85% of the 14 sessions planned. To allow students to attend
Methodology classes well, students are expected to have read the material to be covered, and
always doing and submit homework on time.
Attendance:
Minimum 85% of Total Lecture:
1. A maximum of 2 (two) times absent, for no reason.
2. Students who came 15 minutes after class begins are considered not present.
Assessment Method Descriptio Percentage of
in Alignment with n Evaluation (%)
Intended Learning Class Participation 10
Outcomes Weekly Assignment & Presentation 20
Mid Exam 35
Final Exam 35
Total 100
%
Details of learning
methods
The specific learning methods used in this subject are:
1. group assignment to write 4 papers in the form of case study about the
implementation of one/some aspects of leadership and organizational
behavior concept in a real organization.
2. Lecture and discussion aim to teach student how to demonstrate ability to
justify an argument with supporting evidence/relevant references.
Student Study
Effort Expected
Class Contacts:
Lectures 15 Hours
Tutor 10 Hours
Collaborative Learning 10 Hours
Presentation 16 Hours
Other student study effort:
Preparation for project/assignment/tests 20 Hours
Required Readings:
Reading List and Text Books
References 1. Servigny, Arnaud de and Oliver Renault 2004, Measuring and Managing Credit
Risk, McGraw Hill (SR).
2. Crouhy, Michel, Dan Galai, dan Robert Mark, 2001, Risk Management,
McGraw Hill (CGM).
3. Jorion, Philippe, 2007, Financial Risk Manager Handbook, 4th edition, Risk
Management Library (PJ).
4. Benzschawel, T. (2012). Credit risk modelling: Facts, theory and applications.
London: Incisive Media. (TB)
5. Löeffler, G. & Posch, P.N. (2011). Credit risk modeling using Excel and VBA, 2nd
edition. New Jersey: John Wiley & Sons Inc. (LP)
6. Credit Suisse First Boston. 1997. Creditrisk+: A Credit Risk Management
Framework. Technical Report. New York: CSFB.(CFSB)
7. J.P. Morgan & Co. (2007). CreditMetricsTM —technical document. RiskMetrics
Group, Inc. (JPM)
8. Basel Committee on Banking Supervision: International Convergence of Capital
Measurement and Capital Standard, terkait dengan risiko kredit,
https://www.bis.org/list/bcbs/tid_201/index.htm. (BCBS)
9. Peraturan Bank Indonesia dan Otoritas Jasa Keuangan yang terkait risiko kredit, seperti
POJK Nomor 18/POJK.03/2016 tentang Penerapan Manajemen Risiko Bagi Bank
Umum, SE OJK No. 11/SEOJK.03/2018 tentang Perubahan atas SE OJK No. 10
42/SEOJK.03/2016 tentang Pedoman Perhitungan Aset Tertimbang Menurut Risiko
untuk Risiko Kredit dengan Menggunakan Pendekatan Standar (PBI/POJK).
10. Hanggraeni, Dewi, 2019. Manajemen Risiko Pembiayaan Syariah, IPB Press (DH).
Plagiarism Plagiarism is defined as inserting words/sentences/ideas belonging to other author/s in
part or in whole without referring to the sources. Students must indicate the source of
any words/sentences from other author/s in his/her writing.
Plagiarism also refers to the copying in part or in whole other student’s assignment, or
copying from books, journals, web, magazines, newspapers, etc. Plagiarism includes
also the act of auto-plagiarism defined as the use of one’s own words/ sentences/
ideas taken from other assignment/paper that have been submitted for grading in
other or the same course without any reference to its/ their source/ s.
In accordance to the disciplinary rules and code of ethics for students as indicated on
the Guidebook of FEBUI, students are prohibited to conduct plagiarism, and will be
sanctioned/ punished accordingly.
The sanctions/ punishment are as follows:
• First time offense, the minimum sanction is a Zero (0) grade for the
assignment or maximum an F
• Second time offense, the grade for the course will be an F.
• Third time offense, the student will be expelled from Department of
Management, FEBUI.
Statement of It is mandatory that a Statement of Authorship must be included and posted on the front
Authorship page of the assigned paper.
Statement of Authorship
I/We ........................... the undersigned declare to the best of my/our ability that
the paper/assignment herewith is an authentic writing carried out by myself/ourselves.
No other authors or work of other authors have been used without any reference to its
sources.
This paper/assignment has never been presented or used as paper’ assignment
for other courses except if I/we clearly stated otherwise.
I/We fully understand that this assignment can be reproduced and/or communicated for
the purpose of detecting plagiarism.
Name :
Student’s ID Number :
Signature :
Course :
Paper/Assignment Title :
Date :
Lecturer :
(Signed by all and every single student if it’s a group assignment)
