COURSE UNIT TITLE

: FINANCIAL RISK MANAGEMENT AND DERIVATIVES

DEGREE PROGRAMMES

Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS
MSF 5070 FINANCIAL RISK MANAGEMENT AND DERIVATIVES ELECTIVE 3 0 0 4

Offered By

Accounting and Finance (English)

Level of Course Unit

Second Cycle Programmes (Master's Degree)

Course Coordinator

PROFESSOR DOCTOR PINAR EVRIM MANDACI

Offered to

Accounting and Finance (English)

Course Objective

The objective of this course is to introduce students the concept of risk management and financial derivatives. The course is designed to show how risk is regulated and how it is managed in financial markets.Specifically, it introduces students to the introductory statistical concepts used in measuring risk, and to concepts and applications relating to market, credit, operational, legal/regulatory and reputation risk. Further, the course aims to provide participants with a comprehensive understanding of the mechanics of financial derivatives markets, futures prices,hedging and trading strategies using financial derivatives. This is achieved through an introduction of the basic techniques of pricing and trading. The course also focuses on the usage of financial derivatives instruments for hedging and risk management

Learning Outcomes of the Course Unit

1   Describe the different types of risks that organizations are faced with in order to have an understanding of risk related concepts.
2   Explain the risk management process, focusing on each step, in order to have a holistic view.
3   Describe the Basel II/III capital accord to gain a comprehensive understanding of risk management in the banking industry.
4   Describe forwards, futures, swaps and options, and be able to use futures and forwards contracts in order to form hedging strategies.
5   Design a swap.which incorporates the use of currency and interest rates.
6   Distinguish between call and put options and apply their use.
7   Describe option pricing, pointing out its determinants.
8   Illustrate the misuse of financial derivatives and its implications on corporations.

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week Subject Description
1 Introduction
2 Mechanics of Futures Markets
3 Hedging Strategies using Futures
4 Hedging Strategies using Futures
5 Determination of Forward and Futures Prices
6 Mid-Term
7 Swaps
8 Mechanics of Options Markets
9 Properties of srock options
10 Trading Strategies Involving Options
11 Option Pricing
12 Derivatives Mishaps
13 Securitization and the Credit Crisis of 2007
14 Book Review

Recomended or Required Reading

John Hull, Options, Futures and other Derivatives, 8 e., Prentice Hall, 2012
Peter L. Bernstein, Against the Gods: The Remarkable Story of Risk, 1998

Planned Learning Activities and Teaching Methods

Lecture, discussions, case studies, problem solving.

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

1. The students will describe the different types of risks that organizations and individuals encounter
2. The students will explain the risk management process and evaluate Basel II/III for banking industry.
3. The students will define the mechanics of forwards, futures, swaps and options.
4. The students will adapt theoretical concepts to hedging strategies by using futures and forwards.
5. The students will design a swap in the absence or presence of a financial intermediary
6. The students will design strategy which incorporates the use of call and put options

Language of Instruction

English

Course Policies and Rules

1. Plagiarism of any type will result in disciplinary action.
2. Attending at least 70 percent of lectures is mandatory.
3. All assignments should be submitted on time. Otherwise will not be accepted.

Contact Details for the Lecturer(s)

Prof. Dr. M. Banu Durukan
banu.durukan@deu.edu.tr
Phone: 0232 3018248

Office Hours

Tuesday 12:00-13:00 or by appointment

Work Placement(s)

None

Workload Calculation

Activities Number Time (hours) Total Work Load (hours)
Lectures 13 3 39
Preparations before/after weekly lectures 13 1 13
Preparation for midterm exam 1 15 15
Preparation for final exam 1 20 20
Preparing assignments 6 2 12
Final 1 2 2
Midterm 1 2 2
TOTAL WORKLOAD (hours) 103

Contribution of Learning Outcomes to Programme Outcomes

PO/LOPO.1PO.2PO.3PO.4PO.5PO.6PO.7
LO.15555455
LO.25555455
LO.35555455
LO.45555455
LO.55555455
LO.65555455
LO.75555455
LO.85555455

CONTACT INFORMATION
Dokuz Eylül Üniversitesi Cumhuriyet Bulvarı No: 144 35210 Alsancak / İZMİR
Phone: +90(232) 412 12 12 - Fax: +90 (232) 464 81 35

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