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| ISL5410 | Financial Engineering and Risk Management | 3+0+0 | ECTS:7.5 | | Year / Semester | Fall Semester | | Level of Course | Second Cycle | | Status | Elective | | Department | DEPARTMENT of BUSINESS ADMINISTRATION | | Prerequisites and co-requisites | None | | Mode of Delivery | Face to face | | Contact Hours | 14 weeks - 3 hours of lectures per week | | Lecturer | Prof. Dr. Halil İbrahim BULUT | | Co-Lecturer | None | | Language of instruction | Turkish | | Professional practise ( internship ) | None | | | | The aim of the course: | | Introduction to financial engineering, an outline of financial engineering instruments and financial risk management. |
| Programme Outcomes | CTPO | TOA | | Upon successful completion of the course, the students will be able to : | | | | PO - 1 : | design framework of financial engineering and to list and classify risk and portfolio approach. | 1,2,5 | 1, | | PO - 2 : | understand and explain interest rate and exchange rate. | 1,2,5 | 1, | | PO - 3 : | associate market efficiency with speculation and arbitrage. | 1,2,5 | 1, | | PO - 4 : | determine the applicability of physical instruments of financial engineering under different economic conditions. | 1,2,5 | 1, | | PO - 5 : | plan a risk management technique that it based on forward transaction, futures and contract. | 1,2,5 | 1, | | CTPO : Contribution to programme outcomes, TOA :Type of assessment (1: written exam, 2: Oral exam, 3: Homework assignment, 4: Laboratory exercise/exam, 5: Seminar / presentation, 6: Term paper), PO : Learning Outcome | | |
| Conceptual framework of financial engineering, financial engineering instruments, risk management and hedging. |
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| Course Syllabus | | Week | Subject | Related Notes / Files | | Week 1 | Introduction to Financial Engineering | | | Week 2 | Valuation | | | Week 3 | Risks Classifications | | | Week 4 | Risk Management | | | Week 5 | Risks And Portfolio Approach | | | Week 6 | Valuation Risky Projects-1 | | | Week 7 | Valuation Risky Projects-2 | | | Week 8 | Foreign Exchange Markets | | | Week 9 | Mid-term exam | | | Week 10 | Foreign Exchange Arbitrage and Speculation | | | Week 11 | Risk Management Using Forwards and Futures | | | Week 12 | Risk Management Using Options and Swaps | | | Week 13 | Hybrid Securities | | | Week 14 | Hedging | | | Week 15 | Concluding the Course | | | Week 16 | End-of-term exam | | | |
| 1 | Bolak, Mehmet, 1998, Finans Mühendisliği, Beta Yayınları, İstanbul. | | | |
| 1 | Bolak, Mehmet, 2004, Risk ve Yönetimi, Birsen Yayınları, İstanbul. | | | |
| Method of Assessment | | Type of assessment | Week No | Date | Duration (hours) | Weight (%) | | Mid-term exam | 9 | 19/11/2016 | 1 | 30 | | Homework/Assignment/Term-paper | 12 | 15/12/2016 | 1 | 20 | | End-of-term exam | 16 | 14/01/2017 | 1 | 50 | | |
| Student Work Load and its Distribution | | Type of work | Duration (hours pw) | No of weeks / Number of activity | Hours in total per term | | Yüz yüze eğitim | 3 | 14 | 42 | | Sınıf dışı çalışma | 3 | 14 | 42 | | Arasınav için hazırlık | 15 | 2 | 30 | | Arasınav | 1 | 1 | 1 | | Ödev | 10 | 4 | 40 | | Dönem sonu sınavı için hazırlık | 20 | 2 | 40 | | Dönem sonu sınavı | 1 | 1 | 1 | | Total work load | | | 196 |
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