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Our Degree Programs
Establishment
Language of instruction
English
Teaching content
FINANCE
Training officer(s)
R.BEAUPAIN
Stakeholder(s)
Renaud BEAUPAIN
Présentation
Prerequisite
- Introduction to Financial Data Services (Bloomberg)
- Financial Econometrics
- Market Risk Management
- Financial Econometrics
- Market Risk Management
Goal
- 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
- 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
Presentation
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.
Modalités
Organization
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours interactif | 16,00 | ||
| Travail personnel | |||
| Charge de travail personnel indicative | 20,00 | ||
| Individual Project | 14,00 | ||
| Overall student workload | 50,00 | ||
Evaluation
The assessment for this course consists of one assignment. The project is designed to assess your ability to monitor liquidity risk on a Bloomberg terminal and your understanding of liquidity dimensions and of the associated risks.