COURSE UNIT TITLE

: RISK MANAGEMENT IN BANKING

DEGREE PROGRAMMES

Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS
FIB 5016 RISK MANAGEMENT IN BANKING ELECTIVE 3 0 0 5

Offered By

Financial Economics and Banking

Level of Course Unit

Second Cycle Programmes (Master's Degree)

Course Coordinator

PROFESSOR DOCTOR MERT URAL

Offered to

Financial Economics and Banking

Course Objective

To provide measurement and management of risks in terms of both institutions and investors as a result of improvements in financial markets in the process of globalization.

Learning Outcomes of the Course Unit

1   To be able to understand the roles of banks in the economy
2   To be able to determine financial risks that banks encountered
3   To be able to learn the performance measurement techniques in banks
4   To be able to learn the risk measurement techniques in banks
5   To be able to make calculation with risk measurement techniques

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week Subject Description
1 Concept and Types of Risk in Banking
2 Performance Measurement Techniques and Risk Measurement Techniques
3 Descriptive statistics
4 Value at Risk with Parametric Method
5 Value at Risk with Historical Simulation Method
6 Value at Risk with Monte Carlo Simulation Method
7 Financial Asset Pricing Model, Arbitrage Pricing Model (Midterm exam will also be held this week after course hour)
8 Fama French Three Factor Pricing Model
9 Marginal Value at Risk Method
10 Fundamental Properties of Financial Time Series
11 The Exponentially Weighted Moving Average (EWMA) Method, ARCH/GARCH Models
12 Asymmetric GARCH Models (EGARCH, TGARCH and APGARCH)
13 Cornish-Fisher Expansion
14 Analysis of the Structural Breaks, Backtesting

Recomended or Required Reading

ALTINTAŞ,M. Ayhan (2006), Bankacılıkta Risk Yönetimi ve Sermaye Yeterliliği, Turhan Kitabevi, Ankara.
BOLGÜN, Evren ve Barış AKÇAY (2003), Risk Yönetimi, Scala Yayıncılık, Borsa Yönetim Dizisi, No:34, Istanbul.
CANDAN, Hasan ve Alper ÖZÜN (2006), Bankalarda Risk Yönetimi ve Basel II, Türkiye Iş Bankası Kültür Yayınları, No:1071, Istanbul, Ekim 2006.
BOLLERSLEV, Tim (1987), A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return , The Review of Economics and Statistics, Vol:69, No:3, ss:542-547.
DING, Zhuanxin, Clive W.J. GRANGER and Robert F. ENGLE (1993), A Long Memory Property of Stock Market Returns and A New Model , Journal of Empirical Finance, No:1, ss:83-106.
DOWD, Kevin (2002b), Measuring Market Risk, John Wiley&Sons Ltd., England.
TSAY, Ruey S. (2005), Analysis of Financial Time Series, 2nd Edition, USA: John Wiley & Sons, Inc..
URAL, Mert (2010), Yatırım Fonlarının Performans ve Risk Analizi, Detay Yayıncılık, Ankara.

Planned Learning Activities and Teaching Methods

Alternative risk measurement techniques are described considering advantegous and disadvantageous sides after explaining concept and types of risk. Risk measurement techniques are analysed and commented with portfolios which consist of different financial assets. Microsoft Excel, Eviews, Gauss, WinRats, OxMetrics, Matlab programs are used in the analysis.

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 * 0.20 + FIN* 0.50
5 RST RESIT
6 FCGR FINAL COURSE GRADE (RESIT) MTE * 0.30 + STT * 0.20 + RST* 0.50


*** Resit Exam is Not Administered in Institutions Where Resit is not Applicable.

Further Notes About Assessment Methods

None

Assessment Criteria

To be announced.

Language of Instruction

Turkish

Course Policies and Rules

To be announced.

Contact Details for the Lecturer(s)

mert.ural@deu.edu.tr
3010633

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Activities Number Time (hours) Total Work Load (hours)
Lectures 14 3 42
Preparation for midterm exam 1 15 15
Preparation for final exam 1 20 20
Preparing assignments 1 25 25
Reading 1 15 15
Preparations before/after weekly lectures 14 1 14
Final 1 3 3
Midterm 1 3 3
TOTAL WORKLOAD (hours) 137

Contribution of Learning Outcomes to Programme Outcomes

PO/LOPO.1PO.2PO.3PO.4PO.5PO.6PO.7PO.8PO.9
LO.1555555
LO.2555555
LO.3555555
LO.4555555
LO.5555555

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

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