Course Language:
English
Course Objectives:
Transferring financial risks, identification, measurement and analysis methods
Course Content:
Financial innovation; Definition of risk factors, sources of risk, modeling of risk factors, credit risk management, credit derivatives, accounting and tax risk management; analytical models and forecasting problems; creation and use of derivative instruments in risk management; advanced value-at-risk models (CaViaR, TVaR); extreme value theory.
Teaching Methods:
1: Lecture, 2: Question-Answer, 3: Discussion
Assessment Methods:
A: Testing, B: Presentation D: Project
Vertical Tabs
Course Learning Outcomes
| Course Learning Outcomes | Program Learning Outcomes | Learning Methods | Assessment Methods |
| Definition and modeling of analytical models, financial risk factors, | 1,2,3 | A,C,D | |
| Identifying sources of risk and using them in risk management | 1,2,3 | A,C,D | |
| Estimating and analyzing financial, credit and operational risks by using different risk models | 1,2,3 | A,C,D | |
| Basel metodlarını anlar ve analiz eder. | 1,2,3 | A,C,D |
Course Flow
| COURSE CONTENT | |||
| Week | Topics | Study Materials | |
| 1 | Introduction | Derivatives | |
| 2 | Risk distribution | Portfolio theory | |
| 3 | Greek letters | Option theory | |
| 4 | Interest rate risk | Fixed income vehicles | |
| 5 | Value-at-risk | Econometric methods | |
| 6 | Volatility and correlation | Statistics and econometrics | |
| 7 | Midterm | ||
| 8 | Credit risk | ||
| 9 | 2007 credit crisis | Credit risk | |
| 10 | Basel methods and regulation | Econometric methods | |
| 11 | Scenario analysis and stress testing | ||
| 12 | Operational and liquidity risk | ||
| 13 | Avoiding mistakes in model risk and risk management | ||
| 14 | Final | ||
Recommended Sources
| RESOURCE | ||
| Course Notes | Risk management and financial institutions: John C. Hull | |
| Other Resources | ||
Assessment
| ASSESSMENT | ||
| IN-TERM STUDIES | NUMBER | PERCENTAGE |
| Mid-Term | 1 | 60 |
| Project | 1 | 20 |
| Homework | 1 | 20 |
| Final Exam | 1 | 100 |
| Total | 100 | |
|
CONTRIBUTION OF FINAL EXAMINATION TO OVERALL GRADE |
50 | |
|
CONTRIBUTION OF IN-TERM STUDIES TO OVERALL GRADE |
50 | |
| Total | 100 | |
Course’s Contribution to Program
| COURSE'S CONTRIBUTION TO PROGRAMME | ||||||
| No | Program Learning Outcomes | Contribution | ||||
| 1 | 2 | 3 | 4 | 5 | ||
| 1 | Students can keep themselves informed and analyze the current economic development in Turkey and in the world from an international political economy perspective paying a particular attention to the interaction of the Turkish economy with the global economy. | X | ||||
| 2 | Being aware of the development and accumulation of economic thought, students can master qualitative and quantitative knowledge and methods to test various economic theories that can be applied to the analysis of the current economic problems. | X | ||||
| 3 | Students can use statistical and econometric analyses by learning how to use information technologies that have validity and widespread use in the field of economics. | X | ||||
| 4 | By learning how to learn in the field of economics, students can research and work individually or as a team using the Turkish and English academic resources. | X | ||||
| 5 | Being aware of the ethical values, students know the individual, social and ecological dimensions of the concept of social responsibility and can prove that they understand the active citizenship duty that falls upon them within this framework. | X | ||||
| 6 | Students can clearly express, present and share their knowledge, the outcomes of their studies, their ideas and comments to people in their field or other disciplines/units using the necessary data, in national and international academic and professional environments, in Turkish or English. | X | ||||
ECTS
| ECTS ALLOCATED BASED ON STUDENT WORKLOAD BY THE COURSE DESCRIPTION | ||||
| Activities | Quantity | Duration (Hour) | Total Workload (Hour) | |
|
Course Duration (Including the exam week: 15x Total course hours/week) |
16 | 3 | 48 | |
|
Hours for off-the-classroom study (Pre-study, practice, review/week) |
16 | 6 | 96 | |
| Homework | 16 | 60 | 60 | |
| Mid-term | 1 | 20 | 20 | |
| Final | 1 | 30 | 30 | |
| Total Work Load | 254 | |||
| Total Work Load / 25 (h) | 10.16 | |||
| ECTS Credit of the Course | 10 | |||