Academic Catalog

IAM544 FINANCIAL RISK ASSESSMENT

Course Code: 9700544
METU Credit (Theoretical-Laboratory hours/week): 3(3-0)
ECTS Credit: 8.0
Department: Institute Of Applied Mathematics
Language of Instruction: English
Level of Study: Graduate
Course Coordinator: Assoc.Prof.Dr. AHAP KASIRGA YILDIRAK
Offered Semester: Spring Semesters.

Course Content

Introduction to programming in Matlab. Matlab toolboxes related to financial computations. Computations of Probability Distributions in Matlab. Distribution fit. Mixed distributions. Computation of Unconditional and conditional probabilities. Introduction to econometrics. OLS, MLE, properties of the estimators. Autocorrelation-heteroscedasticity-nonlinearity in time series. Time series modeling in Matlab. Commands for AR-MA-ARMA-ARIMA-ARCH-GARCG-Multivariate GARCH modeling. Measuring the risk of foreign exchange, equities, derivatives, bonds. Computation of Zero Coupon Bond-Duration-Convexity-Forward Rate-Yield Curve (Interpolaration and function based approaches i.e. Nelson-Siegel). Computation of Portfolio Value at Risk, Covariance VaR, Delta-Normal VaR, Historical Simulation-Filtered Historical Simulation-Bootstrap, Monte Carlo Simulation of Geomettic Brownian Motion, CRR, CIR, Vasicek, HJM models.