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LIQUIDITY RISK MANAGEMENT

2016-2017

IESEG School of Management ( IÉSEG )

Code Cours :

1617-IÉSEG-M1S1-FIN-MA-EI49UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
Master1S1English
Professeur(s) responsable(s)R.BEAUPAIN
Intervenant(s)Renaud BEAUPAIN


Pré requis

Introduction to Financial Data Services;
Financial Econometrics;
Market Risk Management.

Objectifs du cours

At the end of this course, students will be able to:
Understand the importance of incorporating liquidity risk in risk management frameworks;
Monitor market liquidity on Bloomberg/Thomson Reuters EIKON terminals;
Extract high-frequency data in Excel and use econometric software to test hypotheses;
Critically describe seminal research in empirical market microstructure.

Contenu du cours

This course is designed to introduce students to the monitoring and management of liquidity risk. Liquidity is first introduced by differentiating market liquidity from funding liquidity. International standards and academic literature in the field are then discussed. Bloomberg/Thomson Reuters EIKON, Excel, and Eviews are used to build a framework for monitoring liquidity risk in real time. The techniques presented during the course make extensive use of the Bloomberg/Thomson Reuters EIKON terminals and of their interface with Microsoft Excel.

Course outline:
1. Liquidity: Concepts;
2. Introduction to the microstructure of financial markets;
3. Market liquidity:
a. Transaction costs;
b. Market depth.
4. Concluding remarks and references.


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
lecture16,00  
Independent study
Estimated personal workload12,00  
Group Project10,00  
Independent work
E-Learning2,00  
Charge de travail globale de l'étudiant40,00  

Méthodes pédagogiques

  • Presentation
  • Research
  • Project work
  • Interactive class


Évaluation

The assessment for this course consists of one group assignment. The project is designed to assess your ability to monitor liquidity risk on Bloomberg/Thomson Reuters EIKON terminals and your understanding of liquidity dimensions and of the associated risks.

Type de ContrôleDuréeNombrePondération
Others
Individual Project10,00160,00
Continuous assessment
Oral presentation0,50140,00
TOTAL     100,00

Bibliographie

  • Chacko, G., Evans, C. L., Gunawan, H., Sjöman, A. (2011): The Global Economic System, FT Press. -

  • Harris, L. (2003): Trading and Exchanges: Market Microstructure for Practitioners, Oxford University Press. -


Ressources internet



 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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