| Ders Adı | Kodu | Yarıyıl | T+U Saat | Kredi | AKTS |
|---|---|---|---|---|---|
| Credıt Modellıng and Interest Rate | EKO 562 | 0 | 3 + 0 | 3 | 6 |
| Ön Koşul Dersleri | |
| Önerilen Seçmeli Dersler | |
| Dersin Dili | Türkçe |
| Dersin Seviyesi | YUKSEK_LISANS |
| Dersin Türü | Seçmeli |
| Dersin Koordinatörü | Dr.Öğr.Üyesi ÇİSEM BEKTUR |
| Dersi Verenler | |
| Dersin Yardımcıları | Arş. Gör. Gürkan Malcıoğlu |
| Dersin Kategorisi | Alanına Uygun Öğretim |
| Dersin Amacı | 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. |
| Dersin İçeriği | 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. |
| # | Ders Öğrenme Çıktıları | Öğretim Yöntemleri | Ölçme Yöntemleri |
|---|---|---|---|
| 1 | Question-Answer, Drilland Practice, | Testing, Homework, | |
| 2 | Drilland Practice, Question-Answer, Lecture, | Testing, Homework, | |
| 3 | Drilland Practice, Question-Answer, Lecture, | Homework, Testing, | |
| 4 | Drilland Practice, Question-Answer, Lecture, | Homework, Testing, | |
| 5 | Drilland Practice, Question-Answer, Lecture, | Testing, |
| Hafta | Ders Konuları | Ön Hazırlık |
|---|---|---|
| 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 |
| Kaynaklar | |
|---|---|
| Ders Notu | Lecture notes |
| Ders Kaynakları | Damir Filipovic, Term-Structure Models: A graduate Course, Springer, 2009. |
| Sıra | Program Çıktıları | Katkı Düzeyi | |||||
|---|---|---|---|---|---|---|---|
| 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 | |||||
| Değerlendirme Sistemi | |
|---|---|
| Yarıyıl Çalışmaları | Katkı Oranı |
| 1. Ara Sınav | 100 |
| Toplam | 100 |
| 1. Yıl İçinin Başarıya | 50 |
| 1. Final | 50 |
| Toplam | 100 |
| AKTS - İş Yükü Etkinlik | Sayı | Süre (Saat) | Toplam İş Yükü (Saat) |
|---|---|---|---|
| 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 |
| Toplam İş Yükü | 144 | ||
| Toplam İş Yükü / 25 (Saat) | 5,76 | ||
| Dersin AKTS Kredisi | 6 | ||