ACTUARIAL SCIENCE (TURKISH, NON-THESIS)
Master TR-NQF-HE: Level 7 QF-EHEA: Second Cycle EQF-LLL: Level 7

Course Introduction and Application Information

Course Code Course Name Semester Theoretical Practical Credit ECTS
ENM5227 Risk Management Spring 3 0 3 8
The course opens with the approval of the Department at the beginning of each semester

Basic information

Language of instruction: En
Type of course: Departmental Elective
Course Level:
Mode of Delivery: Face to face
Course Coordinator : Dr. Öğr. Üyesi ETHEM ÇANAKOĞLU
Course Lecturer(s): Dr. Öğr. Üyesi ETHEM ÇANAKOĞLU
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.

Learning Outputs

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.

Course Content

Tools for Measuring Risk, Interest Rate Risk, Value at Risk, Volatility, Correlations and Copulas, VaR Methods

Weekly Detailed Course Contents

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

Sources

Course Notes: 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

Evaluation System

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

ECTS / Workload Table

Activities Number of Activities Workload
Course Hours 13 39
Laboratory
Application
Special Course Internship (Work Placement)
Field Work
Study Hours Out of Class 14 170
Presentations / Seminar
Project 4 80
Homework Assignments
Quizzes
Preliminary Jury
Midterms 1 3
Paper Submission
Jury
Final 1 3
Total Workload 295

Contribution of Learning Outcomes to Programme Outcomes

No Effect 1 Lowest 2 Low 3 Average 4 High 5 Highest
           
Program Outcomes Level of Contribution
1) Acquire the quantitative skills to become an actuary.
2) Will know about risks and ways to manage risk.
3) Will know about financial planning and its role in actuarial management.
4) Will be able to design new products and carry profitability tests and scenario analyses.
5) Besides gaining competence in theoretical subjects, the graduate will also be aware of practical issues and applications through lecturers and instructors who have market experience.
6) Will be able to follow all innovations and carry on research on the particular area.
7) Will share information with colleagues and will use it for project development..
8) Will be able to apply and make the necessary adaptation to all new rules and regulations.