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

Academic Year 2024/2025

  • Teaching Mode: Traditional lectures
  • Campus: Bologna
  • Corso: Second cycle degree programme (LM) in Quantitative Finance (cod. 8854)

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 understanding deeply the evolution and functioning of contemporary financial system, and the challenges it poses to practioners 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

All the material is on the "Virtual Learning” platform.

There are 10 sections providing the material for the 10 lectures. In each section you find a file "Instruction" that provides a guideline of the material in that section.

Lectures are meant to be interactive, please read the material of the section before the lecture.

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:

• Homeworks during the course (50% ) ,

• A written term paper, either theoretical or empirical, on a topic connected to the course and agreed with the lecturer (50%)

Homeworks are problems and open questions on the issues analyzed in the course, the relevant material being provided in the virtual-learning platform. There is a specific section, "assignments", where students will find the homework to be worked out and uploaded within a specified deadline. Each homework is rated and the mark with comments will be communicated to students via the platform. The average of homework marks will contribute to the final mark with weight 50%. At the end of the course the written term paper will also be uploaded on the platform within 5 weeks from the end of the course's lectures.

Teaching tools

Slides, PC

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

  "Virtual Learning” platform:  10 sections providing the material for the 10 lectures. Each section contains a file "Instruction" that provides a guideline of the material in that section.

Lectures are meant to be interactive, please read the material of the section before the lecture.

 

 

Office hours

See the website of Gabriella Chiesa

SDGs

Quality education Decent work and economic growth

This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.