81626 - ADVANCED TOPICS IN LIQUIDITY MANAGEMENT IN THE POST CRISIS ERA

Scheda insegnamento

SDGs

L'insegnamento contribuisce al perseguimento degli Obiettivi di Sviluppo Sostenibile dell'Agenda 2030 dell'ONU.

Istruzione di qualità Lavoro dignitoso e crescita economica

Anno Accademico 2021/2022

Conoscenze e abilità da conseguire

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.

Contenuti

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 prationers 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)

Testi/Bibliografia

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.

Metodi didattici

Lectures in class, discussion of financial events

Modalità di verifica e valutazione dell'apprendimento

The final score results from:

• Homeworks during the course (40% ) ,

• A written term paper, either theoretical or empirical, on a topic connected to the course and agreed with the lecturer (60%)

Strumenti a supporto della didattica

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.

 

Orario di ricevimento

Consulta il sito web di Gabriella Chiesa