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Risk Management and Derivatives

 

PİRİ REİS UNIVERSITY

FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES

Course Name : Derivatives and Risk Management

Degree: Bachelor

 

Code

 

 

Year/Semester

 

Local Credits

 

ECTS Credits

 

Course Implementation, Hours/Week

Course

Tutorial

Laboratory

EF 322

Spring

3

5

3

0

-

Department

Economics and Finance

Instructors

 

Kenan Tata

Contact Information

 

e-mail: ktata@pirireis.edu.tr

Office Hours

Thursday 15:00-17:00 / Friday 11:00-12:00

Web page

http://www.pirireis.edu.tr/pruonline/www/index.php

Course Type

 Compulsory

Course Language

English

Course Prerequisites

  EF 222 or EF313 (special condition)

Course Category by Content, %

Basic Sciences

Engineering Science

Engineering Design

Humanities

 

 

 

 

Course Description

Financial markets, Futures, Swaps, Options, Risk Management Strategies, Asset Pricing, Option pricing

 

Course Objectives

 

Recent developments in the financial markets, especially the resent crisis and the subsequent turmoil, made it apparent that identifying, measuring and managing risks is a must. Both on individual and firm level, concentrating on the investment itself and/or core operations requires a rigorous knowledge of risk management. Introducing students to the markets and the building blocks of derivative instruments is at the core of this course.  

 

Course Learning Outcomes

 

Students who pass EF 322 will be proficient in the following topics:

  1. Financial markets and different types of risk.
  2. Futures contracts, pricing and strategies.
  3. Swap types, pricing and strategies.
  4. Asset Pricing and price processes.
  5. Option contracts, pricing and straegies

Instructional Methods and Techniques

Theoretical presentation

Tutorial Place

-

Co-term Condition

-

Textbook

John Hull, Fundamentals of Futures and Options Markets,  Pearson Education

Other References

Additional readings will be handled out during the term

Homework & Projects

-

Laboratory Work

-

Computer Use

-

Other Activities

 

                   

 

Assessment Criteria

Activities

Quantity

Effects on Grading, %

Attendance

1

10

Midterm

1

30

Quiz

 

 

Homework

 

 

Term Paper/Project

1

20

Laboratory Work

 

 

Practices

 

 

Tutorial

 

 

Seminar

 

 

Presentation

 

 

Field Study

 

 

Final Exam

1

40

TOTAL

 

100

Effects of Midterm on Grading, %

 

 

Effects of Final on Grading, %

 

 

TOTAL

 

100

 

 

 

ECTS/

WORKLOAD TABLE

Activities

Count

Hours

Total

Workload

Lecture

14

3

42

Midterm

1

15

15

Quiz

 

 

 

Homework

 

 

 

Term Paper/Project

1

30

30

Laboratory Work

 

 

 

Practices

 

 

 

Tutorial

 

 

 

Seminar

 

 

 

Presentation

 

 

 

Field Study

 

 

 

Final Exam

1

33

33

Total Workload

 

 

120

Total Workload/25

 

 

120/25

Course ECTS Credits

 

 

5

 

 

 

Week

 

Topics

Course Outcomes

1

Introductıon, Markets and Risks

I

2

Mechanics of Futures and trading strategies

I-II

3

Pricing Futures 1

I-II

4

Pricing Futures 2

I-II

5

Swaps

I-III

6

Pricing Swaps

III

7

Intro to Options

I-V

8

Trading Strategies

V

9

Binomial Trees

V

10

Stock Prices and Itos Lemma

IV

11

BSM model 1

IV-V

12

BSM model 2

IV-V

13

BSM Applications

IV-V

14

Review

Hepsi

 


 

 

 

Relationship between the Course and the DEPARTMENT OF INTERNATIONAL MANAGEMENT AND TRADE

 

 

Program Outcomes

Level of Contribution

1

2

3

a

To be able to benefit from the basic disciplines of international business and trade (economics, business, law) and to have fundamental knowledge of these disciplines.

 

 

X

b

To be able to evaluate and interpret data, concepts and ideas in the field of international business and trade with scientific methods.

 

 

X

c

To obtain the ability to analyze international economic and trade developments, identify problems, express opinions and present solutions to problems in the organization.

 

 

X

d

To be able to comprehend the necessity of international competition and the unique business practices of different countries.

 

X

 

e

To be fully aware of the requirements of international (consumer and industrial goods) markets and be able to develop and decide strategies in finance, management, production and marketing, especially in times of crisis affecting international business environment.

 

 

X

f

To be able to foresee the processes and results of the decisions to be taken and the projects to be implemented, to take into account the cause - effect relationships and to develop a strategic approach.

 

X

 

g

To be able to focus on continuous improvement, take responsibility and be innovative in the area.

X

 

 

h

To be able to have leadership and management competencies that a manager and entrepreneur should have working at the international level.

 

 

 

i

To be able to work in teams, make horizontal and vertical communication based on professional sharing and interaction with experts in other fields, as well as having the ability to make intercultural communication.

 

 

 

j

 

 

 

 

k

To be able to use information systems and software used in international trade operations and data analysis in addition to using computers.

X

 

 

l

To have the knowledge of at least B2 level English within the scope of European Language Portfolio Independent User and to use these qualities in verbal and written communication.

 

 

 

m

To act in accordance with social, scientific, cultural and ethical values ​​and with the consciousness of social responsibility in various fields of international trade.

X

 

 

 

         1: Small, 2: Partial, 3: Full

Programme Outcomes & Course Outcomes Connectivity Matrix

Course

Outcomes

I

II

III

IV

V

Programme Outcomes

 

a

 

 

 

 

 

b

 

 

 

 

 

c

 

 

 

 

 

d

 

 

 

 

 

e

 

 

 

 

 

f

 

 

 

 

 

g

 

 

 

 

 

h

 

 

 

 

 

i

 

 

 

 

 

j

 

 

 

 

 

k

 

 

 

 

 

l

 

 

 

 

 

m

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Prepared by

Kenan Tata

Date

06.08.2017

Signature