APPLIED MATHEMATICS (TURKISH, THESIS) | |||||
Master | TR-NQF-HE: Level 7 | QF-EHEA: Second Cycle | EQF-LLL: Level 7 |
Course Code | Course Name | Semester | Theoretical | Practical | Credit | ECTS |
MAT5029 | Financial Risk Analysis | Spring | 3 | 0 | 3 | 8 |
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: | The purpose of the course is to introduce the student to types of risk and methods of measuring risk. |
The students who have succeeded in this course; The student will know the concepts of market, credit and operational risks and will be able to measure and estimate those risks. |
Definition of risk, market, credit and operational risks, financial derivatives, options, forwards and swaps. Measurment of market risk, Var and coherent risk measures, estimation of market risk, volatility, correlation, parametric methods, estimation of liquidity and credit risks, estimation of operational risk. |
Week | Subject | Related Preparation | |
1) | Definition of risk, types of risk, measures of risk, methods of mitigating risk. | ||
2) | Definition of market risk, credit risk and operational risk. Defining value at risk and risk metrics. | ||
3) | Financial derivatives: concepts, valuation. Hedging strategies, pricing forwards and futures, forward rate agreements, interest rates. | ||
4) | Options:concepts, strategies, valuation-binomial trees and Balck Scholes, greeks. | ||
5) | Interest rates: determining interest rates, futures, forwards, options and swaps, interest rate structured products. | ||
6) | Fixed income securities. | ||
7) | Market risk measurment. Sources of market risk. Measurment of financial risk, Var, Coherent risk measures. | ||
8) | Estimating market risk: non parametric approaches. Forecasting volatility, covariance and correlations. | ||
9) | Parametric approaches: Conditional v/s unconditional variances, Normal Var, Lognormal distribution, miscelleneous approaches:Levy, normal mixture, stochastic volatility, Cornish Fisher. | ||
10) | Multivariate normal variance-covariance approach. Extreme value theory.Uç değer kuramı. | ||
11) | Value at Risk. Computing Var. Var methods.Calculating Var for a portfolio, Calculating Var using simulation. | ||
12) | Backtesting Var, stress testing, limitations. Risk and return relationship. Liquidity, Credit and Operational Risks. | ||
13) | Modern Portfolio Theory, Minimizing risks by using portfolios, Efficient Frontier Concept | ||
14) | Basics of estimating operational risk. Applications of Efficient Frontier Portfolio with excel; Capital Asset Pricing Model and Beta measures. |
Course Notes: | Steven Allen, Financial Risk Management, Wiley. |
References: | Artzner, Ph., F. Delbaen, J.-M. Eber, D. Heath, “Coherent measures of risk”, Mathematical Finance, vol.9, no. 3 (1999), 203–228. Denault, Michel, “Coherent allocation of risk capital”, 2001 (update of 1999 original) Cummins, J. D., 2000, Allocation of Capital in the Insurance Industry, Risk Management & Insurance Review, 3: 7-27. Meyers, G. G., 2003, The Economics of Capital Allocation, in: The Casualty Actuarial Society Forum, Fall 2003 Edition, Download (2005/07/26): www.casact.org/pubs/forum/03fforum/03fftoc.htm, 391-418. |
Semester Requirements | Number of Activities | Level of Contribution |
Attendance | % 0 | |
Laboratory | % 0 | |
Application | % 0 | |
Field Work | % 0 | |
Special Course Internship (Work Placement) | % 0 | |
Quizzes | % 0 | |
Homework Assignments | % 0 | |
Presentation | % 0 | |
Project | 2 | % 30 |
Seminar | % 0 | |
Midterms | 1 | % 30 |
Preliminary Jury | % 0 | |
Final | 1 | % 40 |
Paper Submission | % 0 | |
Jury | % 0 | |
Bütünleme | % 0 | |
Total | % 100 | |
PERCENTAGE OF SEMESTER WORK | % 30 | |
PERCENTAGE OF FINAL WORK | % 70 | |
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 | 4 | 56 |
Presentations / Seminar | 0 | 0 | 0 |
Project | 2 | 24 | 48 |
Homework Assignments | 0 | 0 | 0 |
Quizzes | 0 | 0 | 0 |
Preliminary Jury | 0 | ||
Midterms | 1 | 24 | 24 |
Paper Submission | 0 | ||
Jury | 0 | ||
Final | 1 | 30 | 30 |
Total Workload | 200 |
No Effect | 1 Lowest | 2 Low | 3 Average | 4 High | 5 Highest |
Program Outcomes | Level of Contribution |