Dokuz Eylül University Information Package / Courses Catalog

Description of Individual Course Units

Course Unit Code	Course Unit Title	Type Of Course	D	U	L	ECTS
CSC 5015	QUANTITATIVE METHODS IN RISK MANAGEMENT	ELECTIVE	3	0	0	8

Offered By

Graduate School of Natural and Applied Sciences

Level of Course Unit

Second Cycle Programmes (Master's Degree)

Course Coordinator

PROFESSOR DOCTOR BURCU HÜDAVERDI AKTAŞ

Offered to

Ph.D. in Computer Science (English)
Computer Science

Course Objective

Specifically statistical modelling issues in quantitative risk management will be given in this course. The aim of this course is to provide some information graduate students need to understand and model the financial risks with mathematical point of view. In statistical terms, the joint distribution of the risk factors will be modelled using a multivariate concept.

Learning Outcomes of the Course Unit

1	Demonstrate the probabilistic description of risks
2	Know the general concepts about continuous multivariate distributions
3	Know the basic concepts used in all branches of quantitative risk management.
4	Describe the financial time series (stock returns, exchange rate returns, etc) with statistical properties.
5	Understand how to measure the financial risk with mathematical knowledge.
6	Learn how to model multivariate continuous distributions using copulas.

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week	Subject	Description
1	The Probabilistic Description of Risks
2	Distribution Functions, Conditional Distribution, Comonotonicity, Mutual Exclusivity.
3	Basics of Multivariate Modeling
4	Dimension Reduction Techniques.
5	Statistical Properties of Financial Data, Fundamentals of Time Series Analysis.
6	Statistical Properties of Financial Data, Conditional expected returns of financial time series
7	Application
8	Project Presentation
9	Introduction to Quantitative Risk Management
10	Risk Measures, Value at-Risk (VaR),
11	Tail Value-at-Risk(TVaR), Risk Measures Based on Expected Utility Theory
12	Standard Methods for Market Risks, Variance-Covariance Method, Monte Carlo, Backtesting
13	Modeling Dependence Using Copulas
14	Dependence Measures Some copula Families
15	Review

Recomended or Required Reading

Textbook(s): A.J. McNeil, R. Frey, and P. Embrechts. Quantitative risk management.
Princeton Series in Finance. Princeton University Press, 2005.
Supplementary Book(s): M. Denuit, J. Dhaene, M. Goovaerts and R. Kaas, Actuarial Theory for Dependent Risks: Measures, Orders and Models. John Wiley &Wiley Sons, 2005.

Planned Learning Activities and Teaching Methods

Teaching materials for the course come from the primary and supplemantary textbooks. Some projects/computer lab explorations are completed in class while some are expected to be done outside of class -as homework. Questions and discussion will be encouraged.

Assessment Methods

SORTING NUMBER	SHORT CODE	LONG CODE	FORMULA
1	MTE	MIDTERM EXAM
2	ASG	ASSIGNMENT
3	FIN	FINAL EXAM
4	FCG	FINAL COURSE GRADE	MTE * 0.30 +ASG * 0.20 +FIN * 0.50
5	RST	RESIT
6	FCGR	FINAL COURSE GRADE (RESIT)	MTE * 0.30 + ASG * 0.20 + RST * 0.50

Further Notes About Assessment Methods

None

Assessment Criteria

Mid-term: 30%
Assignments: 20%
Final exam: 50%

Language of Instruction

English

Course Policies and Rules

To be announced.

Contact Details for the Lecturer(s)

burcu.hudaverdi@deu.edu.tr

Office Hours

will be announced.

Work Placement(s)

None

Workload Calculation

Activities	Number	Time (hours)	Total Work Load (hours)
Lectures	14	3	42
Preparations before/after weekly lectures	14	1	14
Preparation for midterm exam	1	48	48
Preparation for final exam	1	48	48
Preparing assignments	4	9	36
Final	1	2	2
Midterm	1	2	2
TOTAL WORKLOAD (hours)			192

Contribution of Learning Outcomes to Programme Outcomes

PO/LO	PO.1	PO.6
LO.1	3	4
LO.2	3	4
LO.3	3	4
LO.4	3	4
LO.5	3	4
LO.6	3	4

COURSE UNIT TITLE

DEGREE PROGRAMMES

Description of Individual Course Units

Offered By

Level of Course Unit

Course Coordinator

Offered to

Course Objective

Learning Outcomes of the Course Unit

Mode of Delivery

Prerequisites and Co-requisites

Recomended Optional Programme Components

Course Contents

Recomended or Required Reading

Planned Learning Activities and Teaching Methods

Assessment Methods

Further Notes About Assessment Methods

Assessment Criteria

Language of Instruction

Course Policies and Rules

Contact Details for the Lecturer(s)

Office Hours

Work Placement(s)

Workload Calculation

Contribution of Learning Outcomes to Programme Outcomes

CONTACT INFORMATION