BAHÇEŞEHİR UNIVERSITY BİLGİ PAKETİ / DERS KATALOĞU
| APPLIED MATHEMATICS (TURKISH, THESIS) | |||||
| Master | TR-NQF-HE: Level 7 | QF-EHEA: Second Cycle | EQF-LLL: Level 7 | ||
Course Introduction and Application Information
| Course Code | Course Name | Semester | Theoretical | Practical | Credit | ECTS |
| MAT5028 | Fixed Income Securities and Credit Risk | Fall Spring |
3 | 0 | 3 | 12 |
| This catalog is for information purposes. Course status is determined by the relevant department at the beginning of semester. |
Basic information
| Language of instruction: | Turkish |
| Type of course: | Departmental Elective |
| Course Level: | |
| Mode of Delivery: | Face to face |
| Course Coordinator : | Prof. Dr. İRİNİ DİMİTRİYADİS |
| Recommended Optional Program Components: | None |
| Course Objectives: | This course aims to introduce students to the models used in the management of portfolio credit risk. Models currently used in the market are explored and an undrstanding of default dependence is acquired. The use of credit models to determine capital adequacy is shown and an introduction to credit derivatives is given. |
Learning Outcomes
|
The students who have succeeded in this course; On completion of the course the student will be able to demosntrate and understanding of credit risk, explain how dependence is modelled in credit portfolios, describe methods for calculating the protfolio loss distribution and will have some idea about credit derivatives. |
Course Content
| Review of financial derivatives, introduction to credit risk, Merton's model for default of a firm, KMV, CreditMetrics and CreditRisk+ models, showing dependence between defaults with factor models, calculating portfolio credit loss distribution,calibration amd inference for credit risk models, introduction to credit derivatives. |
Weekly Detailed Course Contents
| Week | Subject | Related Preparation |
| 1) | Review of financial derivatives. | |
| 2) | Financial derivatives continued. | |
| 4) | Introduction to credit risk;credit risky instruments, defaults, ratings. | |
| 5) | Default of a firm and Merton's model. | |
| 6) | Common industry models (KMV, CreditMetrics, CreditRisk+) | |
| 7) | Modelling dependence between defaults with factor models. | |
| 8) | Common industry models (KMV, CreditMetrics, CreditRisk+) continued. | |
| 9) | Mixture models of default. | |
| 10) | Calculating the portfolio credit loss distribution. | |
| 11) | Large portfolio behaviour of the credit loss distribution. | |
| 12) | Calibration and statistical inference for credit models. | |
| 13) | Introduction to credit derivatives. | |
| 14) | Credit derivatives continued. |
Sources
| Course Notes / Textbooks: | McNeill, A.J. and Frey, R., and Embrechts, P, (2005), Quantitative Risk Management: Conceptes, Techniques and Tools, Princeton, New Jersey. Bluhm, C., and Overbeck, L., and Wagner, C.(2002). An Introduction to Credit Risk Modeling. Chapmanqnd Hall/CRC Financial Mathematics Series, London. |
| References: | CreditMetrics™– Technical Document, http://www.ma.hw.ac.uk/~mcneil/F79CR/CMTD1.pdf |
Evaluation System
| Semester Requirements | Number of Activities | Level of Contribution |
| Total | % | |
| PERCENTAGE OF SEMESTER WORK | % 0 | |
| PERCENTAGE OF FINAL WORK | % | |
| Total | % | |
ECTS / Workload Table
| Activities | Number of Activities | Duration (Hours) | Workload |
| Course Hours | 14 | 3 | 42 |
| Homework Assignments | 6 | 13 | 78 |
| Midterms | 2 | 25 | 50 |
| Final | 1 | 30 | 30 |
| Total Workload | 200 | ||
Contribution of Learning Outcomes to Programme Outcomes
| No Effect | 1 Lowest | 2 Low | 3 Average | 4 High | 5 Highest |
| Program Outcomes | Level of Contribution |