Course Name Code Semester T+U Hours Credit ECTS
Credit Modelling and Interest Rate EKO 562 0 3 + 0 3 6
Precondition Courses
Recommended Optional Courses
Course Language Turkish
Course Level yuksek_lisans
Course Type Optional
Course Coordinator Dr.Öğr.Üyesi ÇİSEM BEKTUR
Course Lecturers
Course Assistants

Arş. Gör. Gürkan Malcıoğlu

Course Category Field Proper Education
Course Objective

This is an introductory course in interest rate modelling and the pricing of fixed-income assets. The first part of the course focusses on the modelling of the term structure of bonds. During the second part of the course, the concept of credit risk and some standard credit risk models are introduced.

Course Content

Basic notions on interest rates and bond markets. Short-rate models. Heath-Jarrow-Morton models. Structural models of default: Black-Scholes-Merton model, first-passage models of default. Hazard function approach: hazard function and hazard rate, bond pricing with recovery at maturity or at the default-time. Pricing of simple defaultable claims.

# Course Learning Outcomes Teaching Methods Assessment Methods
Week Course Topics Preliminary Preparation
1 Definitions of coupons and interest rates Lecture Notes
2 Review of no-arbitrage pricing Lecture Notes
3 Short-rate models Lecture Notes
4 The Heath-Jarrow-Morton models Lecture Notes
5 Positive interest rates Lecture Notes
6 Basic and exotic interest rate derivatives Lecture Notes
7 Credit spread and corporate bond prices Lecture Notes
8 Intensity based models Lecture Notes
9 Credit rating models Lecture Notes
10 Firm value models Lecture Notes
11 Default correlation Lecture Notes
12 Credit Derivatives Lecture Notes
13 Calibration and practical examples of derivative pricing Lecture Notes
14 Exercises Lecture Notes
Resources
Course Notes <p>Lecture notes</p>
Course Resources

Damir Filipovic, Term-Structure Models: A graduate Course, Springer, 2009.

Order Program Outcomes Level of Contribution
1 2 3 4 5
1 Economic and financial issues in conjunction with the expansion and deepening of information by econometric analysis information to evaluate, interpret and apply X
2 Using the theoretical knowledge in finance and economics combine the ability to apply scientific methods and knowledge of econometric methods to analyze and interpret X
3 Problems experienced in the financial sector to analyze with scientific methods and solutions development X
4 The oral and visual way to transfer to Current developments in the financial sector, for the financial sector and outside groups as written X
5 Both public as well as how it should be in the private sector require highly skilled personnel; have the theoretical knowledge and practical advanced analysis capabilities in economic and financial matters X
6 At least one foreign language spoken and written communication having the ability ("European Language Portfolio Global Scale", Level B2 X
7 they internalize the knowledge and problem-solving skills, ability to apply interdisciplinary studies X
Evaluation System
Semester Studies Contribution Rate
1. Ara Sınav 100
Total 100
1. Yıl İçinin Başarıya 50
1. Final 50
Total 100
ECTS - Workload Activity Quantity Time (Hours) Total Workload (Hours)
Course Duration (Including the exam week: 16x Total course hours) 16 3 48
Hours for off-the-classroom study (Pre-study, practice) 16 6 96
Total Workload 144
Total Workload / 25 (Hours) 5.76
dersAKTSKredisi 6