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Course Code: 
AFN 413
Course Period: 
Spring
Course Type: 
Core
P: 
3
Application: 
0
Credits: 
3
ECTS: 
6
Prerequisite Courses: 
Advanced Statistical Applications
Principles of Finance
Course Language: 
İngilizce
Course Objectives: 

The purpose of the course is to introduce students to the state-of-the-art of the theory and applications in using the various measures of risk for individual assets and for portfolios.

Course Content: 

Probability and statistics theory; statistical analysis with Mathematica; V@R theory, simulation and backtesting; 

Course Methodology: 
1: Lecture, 2: Question-Answer, 3: Discussion, 4: Simulation, 5: Case Study
Course Evaluation Methods: 
A: Testing, B: Presentation, C: Homework, D: Project, E:Laboratory

Vertical Tabs

Course Learning Outcomes

Learning Outcomes

Program Learning Outcomes

Teaching Methods

Assessment Methods

1. To be able to explain the concepts of risk, analysis techniques and the use of risk information

4,9

1,2,3,4,5

A,B

2. To be able to identify and interpret the information provided with market data, financial system and financial regulations

4,9

1,2,3,4,5

A,B

3. To be able to critically analyze and calculate the risks of individual assets and portfolios.

4,8

1,2,3,4,5

A,B

4. To be able to develop and employ  the modern valuation methods in financial risk analysis to real-life financial questions.

4,8,9

1,2,3,4,5

A,B

 

 

 

 
 
 

Course Flow

Week

Topics

Study Materials

1

Definition of financial risk and probability review

Textbook

2

Probability and statistics review

Textbook

3

Probability and statistics with Mathematica

Textbook

4

V@R single asset portfolio  discrete

Textbook

5

TV@R discrete

Textbook

6

V@R single asset portfolio-Nor. Distr.Ret.

Textbook

7

V@R single asset portfolio-Log. Nor

Textbook

8

V@R multiasset with Normal Return Portfolio I

Textbook

9

V@R multiasset II

Textbook

10

Historical simulation

Textbook

11

Scenario generation

Textbook

12

Backtesting

Textbook

13

Assessment of various methods

Textbook

14

Review

Textbook

15

Final Exam

 
 

Recommended Sources

Textbook

P.Jorion, Value at Risk: the new benchmark for managing financial risk, 2nd Ed., McGraw Hill 2001.

Additional Resources

M. Choudhry, An introduction to Value at Risk , 4thd Ed., John Wiley and Sons 2006
 

 

 
 

Material Sharing

Documents

Textbook, and lecture notes

Assignments

Homework

Exams

Mid-term and final exams
 
 

Assessment

IN-TERM STUDIES

NUMBER

PERCENTAGE

Mid-terms

1

30

Quizzes

2

20

Assignment

1

50

Total

 

100

CONTRIBUTION OF FINAL EXAMINATION TO OVERALL GRADE

 

40

CONTRIBUTION OF IN-TERM STUDIES TO OVERALL GRADE

 

60

Total

 

100
 

 

COURSE CATEGORY

Expertise/Field Courses
 
 

Course’s Contribution to Program

 

 

 

 

 

 

 

 

COURSE'S CONTRIBUTION TO PROGRAM

        

 

 

Program Learning Outcomes

Contribution

 

 

 

1

2

3

4

5

 

1. To understand the core principles of finance and to be able to apply them both nationally and internationally.

 

 

 

 

 X

 

2. To formulate solutions to finance problems by effectively using contemporary information technologies and up-to-date financial instruments.

 

 

 

 

 X

 

3. To judge the best possible outcome to problems that require ethical and social responsibility-based thinking by identifying stakeholders and weighing alternative solutions.

X 

 

 

 

 

 

4. To develop the necessary background to be able to work in multicultural and multilingual environments.

 

 

 

 X

 

 

5. To analyze the developments in financial markets by interpreting and distinguishing among the factors affecting them.

 

 

 

 X

 

 

6. To recognize management tools and models specific to multinational companies and to be able to apply them where necessary.

 

 

 

 X

 

 

7. To understand the structure of the global economic system and to be able to analyze how new developments will affect this structure.

 

 

 

 X

 

 

8. To be able to use critical thinking ability in decision making process.

 

 

 

 

 X

 

9. To develop and demonstrate the leadership, teamwork and communication skills that may be transferred to the lifelong learning process.

 

 

 

 

 

 

10. To interpret environmental and sustainability issues by implementing quality management processes.

 

 

 

 X

 

ECTS

Activities

Quantity

Duration
(Hour)

Total
Workload
(Hour)

Course Duration (Including the exam week: 15x Total course hours)

15

3

45

Hours for off-the-classroom study (Pre-study, practice)

15

2

30

Mid-terms

1

15

15

Homework

8

5

40

Final examination

1

20

20

Total Work Load

 

 

150

Total Work Load / 25 (h)

 

 

6

ECTS Credit of the Course

 

 

6
 
 
4
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