| RISK ENGINEERING AND MANAGEMENT (ENGLISH, NON-THESIS) | |||||
| Master | TR-NQF-HE: Level 7 | QF-EHEA: Second Cycle | EQF-LLL: Level 7 | ||
| Course Code | Course Name | Semester | Theoretical | Practical | Credit | ECTS |
| ENM5227 | Risk Management | Spring | 3 | 0 | 3 | 12 |
| Language of instruction: | English |
| Type of course: | Must Course |
| 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. |
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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 |