SYLLABUS

 

Course Name

Code

Semester

Theory
(hour/week)

Application
(hour/week)

Laboratory
(hour/week)

Local Credits

ECTS

Fundamentals of Risk Management

RM 401

Fall/Spring

3

0

0

3

4

 

 

Prerequisites

:

None

 

Course Language

:

English

Course Type

:

Elective

Course Level

:

First Cycle

Mode of Delivery

:

Face to face

Course Coordinator

:

Assoc. Prof. Dr. Coşkun Küçüközmen

Course Lecturer(s)

:

Assoc Prof. Dr. Coşkun Küçüközmen

Course Assistants

:

Course Objectives

:

Main objective of the course is to define the main terms used for the financial risks such as market, credit, operational risks and enable students to review the methodologies and assumptions connected to these risks. Students are also expected to enable to analyze and manage these risks during their business life.

Course Learning Outcomes

:

The students who succeeded in this course;

  • At the end of this course students are expected to have a background on distinguishing, classifying, identifying, measuring and managing financial risks.
  • During the course students are also expected appreciate to hedge the risks that financial institutions face, and will learn how to minimize these risks.
  • At the end of this course students will be able to classify types of risk.

Course Content

:

Topics covered are: identification, classification, measurement and management of different types of financial risks.

Recommended Optional Program Components

:

None

 

Week

Subjects

Related Preparation

1

Introduction to Financial Risk Management

Jonathan Mun, Chapter 1, Applied Risk Analysis

2

Financial Instruments and Institutions

John C. Hull, Chapter 2 & 3, Risk Management and Financial Institutions

3

Risk Types, Classification, Regulation and Supervision Approach

CGM, Chapter1 Gallati, R. Chapter1 Bessis, J. Section 2

4

Value at Risk

John C. Hull, Chapter 8, Risk Management and Financial Institutions

5

Credit Risk

CGM, Chapter7 & 11 Best, P. Chapter Gallati, R. Chapter 2 & 3 Bessis, J. Sections 10 & 11

6

Market Risk & RMD

CGM, Chapter7 & 11 Best, P. Chapter Gallati, R. Chapter 2 & 3 Bessis, J. Sections 10 & 11

7

Operational Risk

John C. Hull, Chapter 18, Risk Management and Financial Institutions

8

Ara Sınav (Makale İncelemesi)

9

Ara Sınav (Makale İncelemesi)

10

Scenario Analysis and Stress Tests

Christoffersen, P.F. Chapter 8 Best, P. Chapter 6 & John C. Hull, Chapter 17, Risk Management and Financial Institutions

11

Introduction to Volatility Models - I

John C. Hull, Chapter 9, Risk Management and Financial Institutions

12

Introduction to Volatility Models - II

John C. Hull, Chapter 9, Risk Management and Financial Institutions

13

Basel-II/III & Solvency II

John C. Hull, Chapter 11, Risk Management and Financial Institutions

14

The Global Financial Crisis and The Role of Risk Management

Risk management, corporate governance, and bank performance in the financial crisis. J. Bank Finance (2011)

 

Course Notes / Textbooks

:

Book Chapters

References

:

BOOKS

Risk Management and Financial Institutions, John C. Hull, 2010

The Essentials of Risk Management, M. Crouhy, D. Galai, R. Mark, (CGM) 2006

Applied Risk Analysis, Jonathan Mun, 2004

Elements of Financial Risk Management, Peter F. Christoffersen,2003

Risk Management in Banking, Joel Bessis, Wiley, 2010

Risk Management and Capital Adequacy, Reto Gallati, McGrawHill, 2003

Implementing ValueatRisk, Philip Best, Wiley, 1998

JOURNALS & MAGAZINES

Journal of Risk Management in Financial Institutions

Risk Magazine (http://www.risk.net/ , paid subscription required, abstracts available for free) 

Global Risk Regulator (http://www.globalriskregulator.com , paid subscription required, abstracts and some articles are available for free) 

The Journal of Risk (http://www.thejournalofrisk.com/)

Daily Journals

Financial Times

Wall Street Journal

WebSites (sign up required) 

GARP (http://www.garp.org/) 

PRMIA (http://www.prmia.org/) 

Riskmetrics (http://www.riskmetrics.com/) 

Bank for International Settlements (http://www.bis.org) 

Risk Management WebSites

http://www.riskworld.com/websites/webfiles/ws5aa015.htm

 

Semester Requirements

Number

Percentage of Grade

Attendance/Participation

20

Laboratory

Application

Field Work

Special Course Internship (Work Placement)

Quizzes/Studio Critics

Homework Assignments

10

Presentation/Jury

1

25

Project

Seminar/Workshop

Midterms

1

20

Final

1

25

Total

100

 

PERCENTAGE OF SEMESTER WORK

75

PERCENTAGE OF FINAL WORK

25

TOTAL

100

 

Course Category

(Only one category will be chosen)

Core Courses

Major Area Courses

X

Supportive Courses

Media and Managment Skills Courses

Transferable Skill Courses

 

Program Qualifications / Outcomes

* Level of Contribution

1

2

3

4

5

1

To solve problems, to have analytical and holistic viewpoint and to develop strategic thinking as a principle in the field of business administration

X

2

To evaluate It is aimed to graduate students whom are able to critique what they have already learn in the field of management, adopting life long learning and continuously developing themselves

X

3

It is aimed to graduate students whom are able to transfer their academic knowledge to organizational level and capable of expressing themselves regarding organizational problems both oral and written

X

4

The students are required to understand the concepts and ideas of business in both national and multinational settings and practice cross disciplinary and comparative analysis

X

5

It is required to know and practice the quality and productivity principles of business life

X

6

Act and think with an innovative motive and able to apply the academic knowledge gain during new and unconventional occasions

X

7

Acquiring leadership qualifications and applying them successfully

8

Working efficiently and effectively, learning how to be a team member, taking responsibilities, being open minded, constructive, vulnerable to criticism and having self confidence

X

9

It is required to know the regional economic aspects and transfer the academic knowledge to real life with both national and international thinking

X

10

To know and apply the realities of business ethics and act according to social, scientific and ethical values under any circumstances such as data collection, evaluation, announcing and practicing

11

Able to use a foreign language as fluent as possible for both chasing the scientific publication and developing proper communication with colleagues from other countries, (“European Language Portfolio Global Scale”, Level B1)

12

Intermediate in both written and spoken of a second foreign language

X

13

Able to use computer programs and technology to an adequate level required by business practices.

X

*1 Lowest, 2 Low, 3 Average, 4 High, 5 Highest

Activities

Number

Duration (Hours)

Total Workload

Course Hours (Including Exam Week: 16 x Total Hours)

16

3

48

Laboratory

Application

Special Course Internship (Work Placement)

Field Work

Study Hours Out of Class

16

1

16

Presentations / Seminar

1

6

6

Project

1

10

10

Homework Assignments

10

1

10

Quizzes

Midterms

1

10

10

Final

1

14

14

 

 

Total Workload

114