|
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. |