| INDUSTRIAL ENGINEERING (ENGLISH, PHD) | |||||
| PhD | TR-NQF-HE: Level 8 | QF-EHEA: Third Cycle | EQF-LLL: Level 8 | ||
| Course Code | Course Name | Semester | Theoretical | Practical | Credit | ECTS |
| ENM5227 | Risk Management | Fall | 3 | 0 | 3 | 12 |
| This catalog is for information purposes. Course status is determined by the relevant department at the beginning of semester. |
| Language of instruction: | English |
| Type of course: | Departmental Elective |
| Course Level: | |
| Mode of Delivery: | Face to face |
| Course Coordinator : | Assist. Prof. ETHEM ÇANAKOĞLU |
| Course Lecturer(s): |
Assist. Prof. ETHEM ÇANAKOĞLU |
| Recommended Optional Program Components: | N.A. |
| Course Objectives: | This course introduces students to the main strategies, methods and techniques used to manage the risks faced by the organizations during their on going business. Students will learn financial risk assessment and measurement techniques, how to organize and structure the financial risk management, how to manage the main financial risks: market, credit operational, liquidity, interest rate, foreign exchange risk, etc. Also students will learn how to measure and to manage the risks at the corporate level. |
|
The students who have succeeded in this course; • analyse, model and manage financial risks faced by a variety of institutions. • calculate different risk metrics such as value at risk. • quantify market risk, credit risk, and operational risk. • learn mathematics of interest rates. • learn basics of different financial instruments used for risk management. |
| Tools for Measuring Risk, Interest Rate Risk, Value at Risk, Volatility, Correlations and Copulas, VaR Methods |
| Week | Subject | Related Preparation |
| 1) | Introduction | |
| 2) | Tools for Measuring Risk | |
| 3) | Trading in Financial Markets | |
| 4) | Financial Risk in Banks | |
| 5) | Insurance | |
| 6) | Case - The Credit Crisis of 2007 | |
| 7) | Financial Derivatives | |
| 8) | How Traders Manage Their Risks | |
| 9) | Midterm | |
| 10) | Interest Rate Risk | |
| 11) | Value at Risk | |
| 12) | Volatility | |
| 13) | Correlations and Copulas | |
| 14) | Operational Risk | |
| 15) | Final exam preparation | |
| 16) | Final |
| Course Notes / Textbooks: | John C. Hull, “Risk Management and Financial Institutions”, Wiley Finance. |
| References: | Philippe Jorion, “Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk”, McGraw Hill |
| Semester Requirements | Number of Activities | Level of Contribution |
| Project | 2 | % 30 |
| Midterms | 1 | % 30 |
| Final | 1 | % 40 |
| Total | % 100 | |
| PERCENTAGE OF SEMESTER WORK | % 30 | |
| PERCENTAGE OF FINAL WORK | % 70 | |
| Total | % 100 | |
| Activities | Number of Activities | Workload |
| Course Hours | 13 | 39 |
| Study Hours Out of Class | 14 | 170 |
| Project | 4 | 80 |
| Midterms | 1 | 3 |
| Final | 1 | 3 |
| Total Workload | 295 | |
| No Effect | 1 Lowest | 2 Low | 3 Average | 4 High | 5 Highest |
| Program Outcomes | Level of Contribution | |
| 1) | To understand and implement areas that are related with basic sciences, mathematics, and industrial engineering at a high level. | |
| 2) | To have expanded and deeper knowledge in the related field including the most recent developments. | |
| 3) | To use and evaluate knowledge with a systematic approach. | |
| 4) | To have high level proficiency of necessary methods and skills to reach the latest knowledge in the field and to understand the knowledge for making research studies. | |
| 5) | To make a comprehensive study innovating science and technology, developing new scientific method or technological product/process, implementing a known method to a new field. | |
| 6) | To be able to detect, design, implement, and finalize an original independent research process; to manage this process | |
| 7) | To be able to contribute science and technology by publishing outcomes of academic studies in reputable scholarly environments. | |
| 8) | To be able to evaluate scientific, technological, social and cultural developments, and to transfer these developments to society with scientific objectivity and ethical responsibility. | |
| 9) | To be able to conduct critical analysis, synthesis and evaluation of thoughts and developments in focusing field. | |
| 10) | To be Able to communicate and discuss orally, in written and visually with peers by using a foreign language at least at a level of European Language Portfolio C1 General Level. | |
| 11) | To be able to conduct functional interaction to solve the problems related to the field by using the strategic decision making processes | |
| 12) | To have effective and efficient management capabilities |