Faculty of Economics and Social Sciences
Department of Banking and Finance

Code Name Level Year Semester
BAF 202 Market Risk Analysis Undergraduate 3 Spring
Status Number of ECTS Credits Class Hours Per Week Total Hours Per Semester Language
4 100 English

Instructor Assistant Coordinator
Malcolm Duerod, Senior Teaching Assistant Malcolm Duerod Said Dinç, Instructor
[email protected] [email protected] no email

The course describes the basic principles of risk analysis, forecasting with uncertainty, risk assessment, risk management and risk communication. Through the course the concept of dicounted cash flow modeling and project risk analysis will be explained.Qualitative and quantitative methods will be used throughout the course in order to comprehend risk and its assessment. In addition the course will cover the eight major risk to consider when managing a bank.

The market risk analysis course is designed to provide students with overview and foundation of the use, approaches and diverse applications of risk analysis given historical, live, and simulated market conditions.

  1. Why do a risk analysis? - Introduction to risk assessment
  2. The quality of risk analysis - Understanding and using the results of risk analysis
  3. Optimisation in risk analysis
  4. Forecasting with uncertainty Part I
  5. Forecasting with uncertainty Part II
  6. Discounted cash flow modelling
  7. Project risk analysis
  8. Midterm
  9. The Eight Major Risks in Banking Part I
  10. The Eight Major Risks in Banking Part II
  11. The Eight Major Risks in Banking Part III
  12. Risk assessment – qualitative and quantitative methods
  13. Liability and Liquidity Management
  14. Capital Adequacy
  15. Final Exam

  1. Introduction and Syllabus
  2. Case Discussion
  3. Aritcle analysis
  4. Quiz 1
  5. Case Discussion
  6. Aritcle analysis
  7. Aritcle analysis
  8. Midterm Review
  9. Review Project
  10. Case Discussion

  1. Aritcle analysis
  2. Quiz 2
  3. Presentations
  4. Presentations
  5. Questions and Answers for the the Final Exam

  • Interactive Lectures
  • Practical Sessions
  • Excersises
  • Presentation
  • Discussions and group work
  • Problem solving
  • Assignments
  • Case Studies
  • Guest instructor
  • Other:Quizzes and Exams
Description (%)
Method Quantity Percentage (%)
Problem solving510
Midterm Exam(s)120
Lab/Practical Exam(s)
Term Paper110
Final Exam130
Total: 100
Learning outcomes
  • Describe the reasons for conducting market risk analysis
  • Understand forecasting with uncertainty
  • Compute project risk analysis
  • Perform discounted cash flow modeling
  • Explain risk communication, risk management and risk assessment
  • Samders, Anthony, Cornett, Marcia Millon, Financial Institution Management: A Risk Management Approach, 7th edition , (2011), McGraw Hill International. Chapters 7-20 excluding Ch 19.
  • Vose D., Risk Analysis (2008), 3rd Edition. John Wiley & Sons.,Ltd. Chapters 1 – 12.

ECTS (Allocated based on student) WORKLOAD
Activities Quantity Duration (Hour) Total Work Load
Lecture (14 weeks x Lecture hours per week)14228
Laboratory / Practice (14 weeks x Laboratory/Practice hours per week)14114
Midterm Examination (1 week)122
Final Examination(1 week)122
Preparation for Midterm Examination11515
Preparation for Final Examination11515
Assignment / Homework/ Project7214
Seminar / Presentation11010
Total Workload: 100
ECTS Credit (Total workload/25): 4