81626 - Advanced Topics in Liquidity Management in the Post Crisis Era

Learning outcomes

At the end of the course, student understands deeply the nature and scope of security design and financial institutions in the provision of liquidity and functioning of financial markets; the role of collateral and repo markets; and the policies of central banks in liquidity/financial crises.

Course contents

The goal of this course is to provide the tools for undertanding deeply the evolution and functioning of contemporary financial system, and the challenges it poses to pratictioners as well as regulators/policy makers.

To this end, we will develop the tools for understanding the nature and scope of security design (included asset securitization), the role of financial institutions in maturity transformation, provision of liquidity and functioning of financial markets; the role of collateral and repo markets; and the policies of central banks in liquidity/financial crises.

We focus on four interrelated topics:

Topic 1. Market Liquidity, Funding Liquidity and Asset Prices - role of Collateral and REPO Market

Topic 2. Dual Role of Asset Prices: Balance Sheet effects and Amplification of Shocks

Topic 3. Liquidity Provision and Runs:

- role of financial institutions in maturity transformation, provision of liquidity and functioning of financial markets;

- Securitization : REPO (Shadow) BANKING

- Central Bank Interventions (quantitative, qualitative easing)

Topic 4. Asset Pledgeability (collaterability) and Asset Liquidity: Liquidity Premia and asset Prices (included Bond Spreads)

Readings/Bibliography

Readings will be detailed in class and made available in a shared folder in dropbox together with slides of the classes:

 https://www.dropbox.com/sh/yx32hxzib843n27/AACXPWbMFyrCfLnb6NpXYpyCa?dl=0

Attendants are strongly invited to  get access to the Financial Times  website.

Teaching methods

Lectures in class, discussion of financial events

Assessment methods

The final score results from:

• Class participation and presentation of a research paper in a 30 min seminar (30%)
• A written term paper, either theoretical or empirical, on a topic connected to the course and agreed with the lecturer. The student will then provide an oral defense of the term paper and of the main concepts developed in the course (70%)

Teaching tools

Slides, PC

Websites of financial press -- Financial Times, Bloomberg, The Economist

link to lecture notes and readings:

https://www.dropbox.com/sh/ykxt5mzon7egbk8/AADEofiIPR97RMIKg678mvzfa?dl=0

 

 

Links to further information

https://www.dropbox.com/sh/yx32hxzib843n27/AACXPWbMFyrCfLnb6NpXYpyCa?dl=0

Office hours

See the website of Gabriella Chiesa