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Financial Engineering and Systemic Risk- Dozent/in
- Ilfan Oh, PhD
- Angaben
- Vorlesung
2 SWS
Zeit und Ort: Mi 18:00 - 20:00, FG1/00.08
- Inhalt
- This course deals with the risks that emanate from modern financial markets and their regulation. The central question is how these
risks, their regulation, and the institutional framework itself can actually contribute to the creation of “systemic” risk, resulting in
historically recurring economy-wide crises. The first course in the sequence takes a closer look at the challenges that monetary policy faces in light of endogenous money creation, which are compounded by
the presence of derivative securities that allow for the synthetic
replication of traditional bank loans. We will consider whether or how banks’ off-balance sheet transactions can circumvent the national
regulatory and taxation frameworks, and what the implications for the respective national central banks are in their function as so-called
lenders of last resort. A second important aspect of this course deals with financial innovation in the syndication of loans or
other debt obligations (ABS, MBS, CDO, CLO), and their role in the recent crisis. The main purpose of the course is to familiarize students with the basic notion of synthetic replication in financial markets, and to carefully explain how this replication leads to new challenges for central bank policy and financial regulation. The importance of “cheap liquidity” in financial crises is emphasized throughout the course.
- Empfohlene Literatur
- P. HOWELLS AND K. BAIN, The Economics of Money, Banking and Finance,
Prentice Hall, 2008 (4th edition).
F.S.MISHKIN AND S.G. EAKINS, Financial Markets and Institutions, Pearson, 2012 (7th edition).
S. NEFTCI, Principles of Financial Engineering, Elsevier AP, 2008 (2nd edition).
C.M. REINHART AND K.S. ROGOFF, This Time Is Different, Princeton UP, 2009.
- Englischsprachige Informationen:
- Credits: 6
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 80
- Institution: Lehrstuhl für Volkswirtschaftslehre, insbes. Internationale Wirtschaft
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