MATHEMATICS (TURKISH, PHD) | |||||
PhD | TR-NQF-HE: Level 8 | QF-EHEA: Third Cycle | EQF-LLL: Level 8 |
Course Code | Course Name | Semester | Theoretical | Practical | Credit | ECTS |
MAT5024 | Risk Management | Fall | 3 | 0 | 3 | 12 |
The course opens with the approval of the Department at the beginning of each semester |
Language of instruction: | Tr |
Type of course: | Departmental Elective |
Course Level: | |
Mode of Delivery: | Face to face |
Course Coordinator : | Prof. Dr. İRİNİ DİMİTRİYADİS |
Course Objectives: | This course aims to provide the road maps to manage the interest rate risks and to measure the sensitivity of fixed income tools due to varying interest rate. The course will also give information on option contracts, futures and how those tools are used to manage financial risks. |
The students who have succeeded in this course; Students will learn the impact of interest rates on the fixed income securities and applications of financial risk management and hedging by using options and futures contracts. |
Interaction between fixed income securities and interest rates, Option and Futures Contracts, Definition and Applications. |
Week | Subject | Related Preparation | |
1) | What are bonds? Their characteristics, types and financial transactions. | ||
2) | Bond Pricing and Yield Rate | ||
3) | Interest Rate Risk. Duration and convexity to measure bond risk. | ||
4) | Interest rate risk management for bond portfolios. | ||
5) | Option Contracts: Definition and Transactions | ||
6) | Option Contracts (cont.) | ||
7) | Cash flows and profitability diagrams of various investment positions by using option contracts | ||
8) | Option Pricing | ||
9) | Option Pricing (cont.) | ||
10) | Futures Contracts and Financial Transactions | ||
11) | Financial Risk Management by using Futures Contracts | ||
12) | Determining the Optimal Contract Number in Hedging | ||
13) | Basis Risk Concept | ||
14) | Review |
Course Notes: | Options, Futures and Other Derivatives, John C. Hull, Prentice Hall; 6 edition |
References: |
Semester Requirements | Number of Activities | Level of Contribution |
Attendance | 14 | % 10 |
Laboratory | % 0 | |
Application | % 0 | |
Field Work | % 0 | |
Special Course Internship (Work Placement) | % 0 | |
Quizzes | 2 | % 10 |
Homework Assignments | 1 | % 10 |
Presentation | % 0 | |
Project | % 0 | |
Seminar | % 0 | |
Midterms | 1 | % 30 |
Preliminary Jury | % 0 | |
Final | 1 | % 40 |
Paper Submission | % 0 | |
Jury | % 0 | |
Bütünleme | % 0 | |
Total | % 100 | |
PERCENTAGE OF SEMESTER WORK | % 60 | |
PERCENTAGE OF FINAL WORK | % 40 | |
Total | % 100 |
Activities | Number of Activities | Duration (Hours) | Workload |
Course Hours | 14 | 3 | 42 |
Laboratory | 0 | 0 | 0 |
Application | 0 | 0 | 0 |
Special Course Internship (Work Placement) | 0 | 0 | 0 |
Field Work | 0 | 0 | 0 |
Study Hours Out of Class | 14 | 8 | 112 |
Presentations / Seminar | 2 | 2 | 4 |
Project | 0 | 0 | 0 |
Homework Assignments | 3 | 8 | 24 |
Quizzes | 2 | 1 | 2 |
Preliminary Jury | 0 | ||
Midterms | 2 | 3 | 6 |
Paper Submission | 0 | ||
Jury | 0 | ||
Final | 1 | 10 | 10 |
Total Workload | 200 |
No Effect | 1 Lowest | 2 Low | 3 Average | 4 High | 5 Highest |
Program Outcomes | Level of Contribution |