| Course Name | Economics of Risk and Institutional Risk |
| Code | Semester | Theory (hour/week) | Application/Lab (hour/week) | Local Credits | ECTS |
|---|---|---|---|---|---|
| ECON 516 | Fall/Spring | 3 | 0 | 3 | 7.5 |
| Prerequisites | None | |||||
| Course Language | English | |||||
| Course Type | Elective | |||||
| Course Level | Second Cycle | |||||
| Mode of Delivery | - | |||||
| Teaching Methods and Techniques of the Course | ||||||
| Course Coordinator | - | |||||
| Course Lecturer(s) | ||||||
| Assistant(s) | - | |||||
| Course Objectives | To teach students the fundamentals of risk management and its evolution over time. |
| Learning Outcomes | The students who succeeded in this course;
|
| Course Description | The course focuses on the fundamentals of risk management and its evolution over time. It focuses on how to define, measure and manage risk by taking the students through a historical journey and introducing the heroes that contributed to the profession, from Bernoulli to Laplace, to Keynes, Kenneth Arrow, the father of risk management and derivatives. Later in the semester the course focuses on modern allocations of risk management with specific emphasis on company balance and bank balance sheets, operations of insurance companies etc. It concludes with tools to manage risk. |
| Related Sustainable Development Goals | |
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| Core Courses | |
| Major Area Courses | X | |
| Supportive Courses | ||
| Media and Managment Skills Courses | ||
| Transferable Skill Courses |
| Week | Subjects | Required Materials |
| 1 | Risk Definitions, Risk Types and Risk Resources | • Defining Risk (Glyn A. Holton) http://thegordian.net/wp-content/uploads/2006/10/risk.pdf • Types of Risks—Risk Exposures http://catalog.flatworldknowledge.com/bookhub/1?e=baranoff-ch01_s04 |
| 2 | Risk theories | • History of Finance (Merton H. Miller) • Risk, theory, reflection: Limitations of the stochastic model of uncertainty in financial risk analysis (Barry du Toit ) |
| 3 | Institutional Risk Management | Rethinking risk management (René M. Stulz) |
| 4 | Risk Analysis in Economics | Systemic Risk And The Macroeconomy: An Empirical Evaluation http://www.nber.org/papers/w20963 |
| 5 | Risk Analysis in Finance | • The Challenges of Risk Management in Diversified Financial Companies (Christine M. Cumming and Beverly J. Hirtle) • How do global investors differentiate between sovereign risks? The new normal versus the old, Marlene Amstad, Eli Remolona and Jimmy Shek |
| 6 | Risk Measurement Models and Techniques | Quantitative Risk Management: Concepts, Techniques and ToolsAlexander J. McNeil Rudiger ¨ Frey Paul Embrechts |
| 7 | Application of Risk Measurement | • Volatility, Correlation And Tails For Systemic Risk Measurement (Christian T. Brownlees and Robert Engle) • Credit risk measurement: Developments over the last 20 years (Edward I. Altman, Anthony Saunders) |
| 8 | Mid-Term | |
| 9 | Risk Analysis of Non Finance Sectors | Management of non-financial risks http://www.bis.org/publ/othp04_8.pdf |
| 10 | Risk Management Applications of Non Finance Sectors | • Non-financial risk assessment in mergers, acquisitions and investments (Erik Allenstr¨om and Fredrik Njurell) • Financial and Non-Financial Business Risk Perspectives –Empirical Evidence from Commercial Banks (Khizer Ali, Akhtar and Sadaqat) |
| 11 | Risk Analysis of Finance Sectors | • Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall, İrem Talaslı • Systemic risk in the financial sector: An analysis of the subprime-mortgage financial crisis, Martin F. Hellwig |
| 12 | Risk Management Applications of Finance Sectors | • Excess Credit Risk and Bank’s Default Risk An Application of Default Prediction Models to Banks from EME , C.J. Godlewkski • Econometric Measures Of Systemic Risk In The Finance And Insurance Sectors, Monica Billio, Mila Getmansky, Andrew W. Lo, Loriana Pelizzon |
| 13 | Risk Management by using derivatives | • Derivatives usage in risk management by U.S. and German non-financial firms: A comparative survey, Bodnar, Gordon M.; Gebhardt, Günther • Electricity derivatives and risk management, S.J. Denga, and S.S. Oren |
| 14 | Derivatives Applications for Risk Management | • Dynamic Risk Management of Commodity Operations: Model and Analysis Sripad K Devalkar Ravi Anupindi, Amitabh Sinha • Introduction To Derivatives And Risk Management, D Chance, R Brooks |
| 15 | Presentations and Delivery of Projects | |
| 16 | Review of the Semester |
| Course Notes/Textbooks | |
| Suggested Readings/Materials |
| Semester Activities | Number | Weigthing |
| Participation | 16 | 10 |
| Laboratory / Application | ||
| Field Work | ||
| Quizzes / Studio Critiques | ||
| Portfolio | ||
| Homework / Assignments | ||
| Presentation / Jury | ||
| Project | 1 | 50 |
| Seminar / Workshop | ||
| Oral Exam | ||
| Midterm | 1 | 40 |
| Final Exam | ||
| Total |
| Weighting of Semester Activities on the Final Grade | 17 | 50 |
| Weighting of End-of-Semester Activities on the Final Grade | 1 | 50 |
| Total |
| Semester Activities | Number | Duration (Hours) | Workload |
|---|---|---|---|
| Course Hours (Including exam week: 16 x total hours) | 16 | 3 | 48 |
| Laboratory / Application Hours (Including exam week: 16 x total hours) | 16 | ||
| Study Hours Out of Class | 16 | 6 | 96 |
| Field Work | |||
| Quizzes / Studio Critiques | |||
| Portfolio | |||
| Homework / Assignments | |||
| Presentation / Jury | |||
| Project | 1 | 40 | |
| Seminar / Workshop | |||
| Oral Exam | |||
| Midterms | 1 | 20 | |
| Final Exams | |||
| Total | 204 |
| # | Program Competencies/Outcomes | * Contribution Level | ||||
1 | 2 | 3 | 4 | 5 | ||
| 1 | To be able to contribute to the science by improving the knowledge in the field with a level of sufficient expertise based on the qualifications of the master degree. | X | ||||
| 2 | To be able to identify, analyze and interpret the oriented problems of the financial science and the business world. | X | ||||
| 3 | To be able to develop a unique idea, method or application in the field of finance. | X | ||||
| 4 | To be able to transform knowledge in the field to an academic research by mastering existing theory and research in its field. | X | ||||
| 5 | To be able to gain effective communication skills that enables to express the original research results and opinions in the field of finance at scientific meetings and/or within the expert community. | X | ||||
| 6 | To be able to use the results of scientific studies conducted in the field, in relevant refereed journals while publicising them or presenting them in scientific meetings while disseminating knowledge gained. | X | ||||
| 7 | To be able to analyze and resolve national and international developments and its influences on markets with an interdisciplinary perspective. | |||||
| 8 | To be able to conduct independent research. | X | ||||
| 9 | To be able to demonstrate ethical values in the stages of collection, interpretation, dissemination and application of data related to finance field. | |||||
| 10 | To be able to prepare an original thesis / term project in accordance with the criteria related to the field of finance. | |||||
| 11 | To be able to use a foreign language to follow information about the field of finance and participate in discussions in academic environments. | |||||
*1 Lowest, 2 Low, 3 Average, 4 High, 5 Highest
