LIQUIDITY RISK MANAGEMENT
Année du cours : 1 année(s)
Etablissement : IÉSEG School of Management
Langue : English
Formation(s) dans laquelle/lesquelles le cours apparait :
Période : S2
– Introduction to Financial Data Services (Bloomberg)
– Financial Econometrics
– Market Risk Management
– 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
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.
