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LIQUIDITY RISK MANAGEMENT

2017-2018

IESEG School of Management ( IÉSEG )

Code Cours :

1718-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 (Bloomberg);
Financial Econometrics;
Market Risk Management.

Objectifs du cours

At the end of the course,the student should be able to :
- Understand the importance of incorporating liquidity risk in risk management frameworks
- Monitor market liquidity on Bloomberg 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 workload20,00  
Individual Project14,00  
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • Presentation
  • E-learning
  • Research
  • Project work
  • Interactive class


Évaluation

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, Microsoft 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 terminal and of its interface with Microsoft Excel.

Type de ContrôleDuréeNombrePondération
Others
Written Report0,001100,00
TOTAL     100,00




 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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