Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
The course will develop the analytical tools necessary to understand crisis prevention and management, and risk management. The properties and characteristics of risk management techniques will be analyzed and related to corporate and sovereign default risk, hedging and trading strategies, regulation, and assessing financial stability and systemic risk. Emphasis will be put on applying these techniques to problems emerging in the marketplace.
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
The course will develop the analytical tools necessary to understand crisis prevention and management, and risk management. The properties and characteristics of risk management techniques will be analyzed and related to corporate and sovereign default risk, hedging and trading strategies, regulation, and assessing financial stability and systemic risk. Emphasis will be put on applying these techniques to problems emerging in the marketplace.
Course completion requirements -
Last update: Mgr. Matěj Opatrný, Ph.D. (06.04.2021)
Participation at the lectures. Final exam. Grading in line with faculty decree on grading.
The following week on Monday 12th, Tuesday 13th at 10:00 via Moodle, online. To successfully finish the curse, please enroll at https://dl2.cuni.cz for the course Financial Crisis and Risk Management.
link to exam online (it is necessary to be connected via MS Teams during taking the exam): https://teams.microsoft.com/l/meetup-join/19%3ameeting_MzNmZTlhOGYtN2VlZC00MzQyLWJmZGItZDU0Y2MyYWYwZjJl%40thread.v2/0?context=%7b%22Tid%22%3a%22e09276da-f934-4086-bf08-8816a20414a2%22%2c%22Oid%22%3a%22d2bd181b-aae3-4364-a153-ded058e3178e%22%7d
Last update: Mgr. Matěj Opatrný, Ph.D. (06.04.2021)
Participation at the lectures. Final exam. Grading in line with faculty decree on grading.
The following week on Monday 12th, Tuesday 13th at 10:00 via Moodle, online. To successfully finish the curse, please enroll at https://dl2.cuni.cz for the course Financial Crisis and Risk Management.
link to exam online (it is necessary to be connected via MS Teams during taking the exam): https://teams.microsoft.com/l/meetup-join/19%3ameeting_MzNmZTlhOGYtN2VlZC00MzQyLWJmZGItZDU0Y2MyYWYwZjJl%40thread.v2/0?context=%7b%22Tid%22%3a%22e09276da-f934-4086-bf08-8816a20414a2%22%2c%22Oid%22%3a%22d2bd181b-aae3-4364-a153-ded058e3178e%22%7d
Literature -
Last update: prof. Roman Horváth, Ph.D. (23.10.2019)
Goodhart, C. and D. Tsomocos, The Challenge of Financial Stability, Edward Elgar.
Goodhart, C. and D. Tsomocos, Financial Stability in Practice, Edward Elgar.
Myint, S. and F. Famery, The Handbook of Corporate Financial Risk Management, Risk Books.
Wessel, D. In FED We Trust: Ben Bernanke's War on the Great Panic, Three Rivers Press.
Last update: prof. Roman Horváth, Ph.D. (23.10.2019)
Goodhart, C. and D. Tsomocos, The Challenge of Financial Stability, Edward Elgar.
Goodhart, C. and D. Tsomocos, Financial Stability in Practice, Edward Elgar.
Myint, S. and F. Famery, The Handbook of Corporate Financial Risk Management, Risk Books.
Wessel, D. In FED We Trust: Ben Bernanke's War on the Great Panic, Three Rivers Press.
Syllabus -
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
Topics to be covered include: the analytics of a financial crisis - the Great Depression; bank runs and the current financial crisis; case studies: Bear Stearns and Lehman Brothers; funding, interest rate and currency risk, and liquidity crises; bank resolution; modelling risky debt, systemic risk and default; VaR, CoVaR and other risk measures; elements of term structure of interest rate models and hedging applications; housing, mortgages, and the subprime market; the Goodhart-Tsomocos Model of Financial Fragility, and measure of systemic risk; the sovereign debt crisis and the Euro area bailout.
Preliminary Syllabus
Session 1
Course Introduction
The Analytics of a Financial Crisis: The Great Depression
Wessel, D. (2010) “Let Ol’ Lehman Go” and “Breaking the Glass”, chapter 1 & 11 in In FED We Trust: Ben Bernanke's War on the Great Panic, Three Rivers Press, pp.9-26 & 118-126.
Friedman, M. (1998) “Reviving Japan”, Hoover Digest, 1998:2, Asia.
Greenlaw, D., Hatzius, J., Kashyap, A.K. and Shin, H.S. (2008) Leveraged Losses: Lessons from the Mortgage Market Meltdown, Proceedings of the U.S. Monetary Policy Forum 2008, U.S. Monetary Policy Forum Report No. 2. Rosenberg Institute, Brandeis International Business School and
Initiative on Global Markets, University of Chicago Graduate School of Business.
Freidman, M. (1997) “The Euro: Monetary Unity To Political Disunity?”, Project Syndicate, 28th Aug., 1997 <<http://www.project-syndicate.org/commentary/the-euro--monetary-unity-to-political-disunity>> viewed 29/04/2014.
3 part series by Peter Spiegel “How the euro was saved”, Financial Times 11, 14, 15 May 2014
Case Study
To be handed out in class.
Session 5
Corporate Risk Management: Funding Risk
· Reasons for risk management
· Funding as a risk
· Funding and risk management issues during the 2008 crisis
· Funding cost drivers
Corporate Risk Management: Interest-rate Risk
· Bond and interest-rate basic concepts
· Yield curves
· How to develop an interest-rate risk hedging policy
Essential Reading
Myint, S. and Famery, F. (2012) “Funding” and “Interest Rates and Inflation Risk”, parts 1and II in The Handbook of Corporate Financial Risk Management, Risk Books, pp.1-50 and 51-166.
Myint, S. and Famery, F. (2012) “Currency Risk”, part III in The Handbook of Corporate Financial Risk Management, Risk Books, pp. 166-237.
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
Topics to be covered include: the analytics of a financial crisis - the Great Depression; bank runs and the current financial crisis; case studies: Bear Stearns and Lehman Brothers; funding, interest rate and currency risk, and liquidity crises; bank resolution; modelling risky debt, systemic risk and default; VaR, CoVaR and other risk measures; elements of term structure of interest rate models and hedging applications; housing, mortgages, and the subprime market; the Goodhart-Tsomocos Model of Financial Fragility, and measure of systemic risk; the sovereign debt crisis and the Euro area bailout.
Preliminary Syllabus
Session 1
Course Introduction
The Analytics of a Financial Crisis: The Great Depression
Wessel, D. (2010) “Let Ol’ Lehman Go” and “Breaking the Glass”, chapter 1 & 11 in In FED We Trust: Ben Bernanke's War on the Great Panic, Three Rivers Press, pp.9-26 & 118-126.
Friedman, M. (1998) “Reviving Japan”, Hoover Digest, 1998:2, Asia.
Greenlaw, D., Hatzius, J., Kashyap, A.K. and Shin, H.S. (2008) Leveraged Losses: Lessons from the Mortgage Market Meltdown, Proceedings of the U.S. Monetary Policy Forum 2008, U.S. Monetary Policy Forum Report No. 2. Rosenberg Institute, Brandeis International Business School and
Initiative on Global Markets, University of Chicago Graduate School of Business.
Freidman, M. (1997) “The Euro: Monetary Unity To Political Disunity?”, Project Syndicate, 28th Aug., 1997 <<http://www.project-syndicate.org/commentary/the-euro--monetary-unity-to-political-disunity>> viewed 29/04/2014.
3 part series by Peter Spiegel “How the euro was saved”, Financial Times 11, 14, 15 May 2014
Case Study
To be handed out in class.
Session 5
Corporate Risk Management: Funding Risk
· Reasons for risk management
· Funding as a risk
· Funding and risk management issues during the 2008 crisis
· Funding cost drivers
Corporate Risk Management: Interest-rate Risk
· Bond and interest-rate basic concepts
· Yield curves
· How to develop an interest-rate risk hedging policy
Essential Reading
Myint, S. and Famery, F. (2012) “Funding” and “Interest Rates and Inflation Risk”, parts 1and II in The Handbook of Corporate Financial Risk Management, Risk Books, pp.1-50 and 51-166.