COURSE UNIT TITLE

: FINANCIAL RISK ANALYSIS AND MANAGEMENT

DEGREE PROGRAMMES

Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS
EFE 7015 FINANCIAL RISK ANALYSIS AND MANAGEMENT ELECTIVE 3 0 0 10

Offered By

Master`s Degree in Financial Economics (Non-Thesis-Evening)

Level of Course Unit

Second Cycle Programmes (Master's Degree)

Course Coordinator

PROFESSOR DOCTOR SAADET KASMAN

Offered to

Master`s Degree in Financial Economics (Non-Thesis-Evening)

Course Objective


The aim of this course to provide a comprehensive and rigorous study of the principles, processes and applications of financial risk analysis and management. In this regard, the course covers the concepts of modeling, measuring and managing financial risks. Emphasis will be placed on identification and assessment of financial risks and designing optimal risk management strategies. Topics will include univariate and multivariate risk models, simulations, Value-at-Risk, and Basel III.

Learning Outcomes of the Course Unit

1   Define and describe the various types of financial risks.
2   Identify and measure financial risks faced by corporations.
3   Establish an effective risk management program.
4   Develop hedging strategies to minimize risk for financial and nonfinancial companies.
5   Describe the main types of derivatives and understand their valuation.

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week Subject Description
1 Risk Management and Financial Returns
2 Historical Simulation and Value-at Risk
3 Financial Time Series Analysis
4 Volatility Modeling I
5 Volatility Modeling II
6 Nonnormal Distributions
7 Midterm
8 Covariance and Correlation Models
9 Simulating the Term Structure of Risk
10 Distributions for Integrated Financial Risk Management
11 Option Pricing
12 Option Risk Management
13 Credit Risk Management
14 Final Exam

Recomended or Required Reading

1. Peter F. Christoffersen, Elements of Financial Risk Management, Second Edition, Elsevier, 2012
2. Lecture Notes

Planned Learning Activities and Teaching Methods

1. Lectures
2. Problem solving
3. Assignments

Assessment Methods

SORTING NUMBER SHORT CODE LONG CODE FORMULA
1 MTE MIDTERM EXAM
2 STT TERM WORK (SEMESTER)
3 FIN FINAL EXAM
4 FCG FINAL COURSE GRADE MTE * 0.30 + STT * 0.30 + FIN* 0.40
5 RST RESIT
6 FCGR FINAL COURSE GRADE (RESIT) MTE * 0.30 + STT * 0.30 + RST* 0.40


Further Notes About Assessment Methods

None

Assessment Criteria

1. The learner will clearly define and describe the basic concepts of financial risk.
2. The learner will identify and measure financial risks faced by companies.
3. The learner will be able to establish an effective risk management program.
4. The learner will be able develop hedging strategies to minimize risk for companies.
5. The learner will describe common types of derivatives and approaches to their valuation.

Language of Instruction

English

Course Policies and Rules

It is obligatory to attend at least 70% of the classes.

Contact Details for the Lecturer(s)

habil.gokmen@deu.edu.tr

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Activities Number Time (hours) Total Work Load (hours)
Lectures 12 3 36
Tutorials 12 1 12
Preparations before/after weekly lectures 12 5 60
Preparation for midterm exam 1 30 30
Preparation for final exam 1 50 50
Preparing assignments 5 12 60
Final 1 2 2
Midterm 1 2 2
TOTAL WORKLOAD (hours) 252

Contribution of Learning Outcomes to Programme Outcomes

PO/LOPO.1PO.2PO.3PO.4PO.5PO.6PO.7PO.8PO.9PO.10
LO.154
LO.2554
LO.3454
LO.4545
LO.555

CONTACT INFORMATION
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Phone: +90(232) 412 12 12 - Fax: +90 (232) 464 81 35

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