Supplementary Courses

Money Supplementary Courses

The following is an indicative list. Not all courses are necessarily offered every academic year; and the program may be enriched with further courses when appropriate and feasible.


The Euro and the Conduct of Monetary Policy in the Euro Area: Livio Stracca (ECB)

After briefly reviewing the consensus model used in monetary policy making, the course deals with the role of asset prices and of monetary and credit aggregates in policy-making. It discusses the institutional setting for the conduct of monetary policy, the monetary policy strategy of the ECB, and its main criticisms. It then describes key features of the Euro area economy and evaluates its performance following adoption of the Euro, including prospects for convergence and divergence. The course concludes with an analysis of the international role of the Euro and issues related to Euro area enlargement.

Exchange rate economics and policy: Christian Thimann (ECB)

Exchange rates are among the most important economic variables, having a macroeconomic, monetary and financial dimension. They affect relative prices between economies, as well as international trade and finance, with the foreign exchange market being in terms of turnover the largest market worldwide. This course provides a foundation of exchange rate economics and policy. It starts from key concepts of exchange rate determination and reviews the linkages between exchange rates, the balance of payments and the real economy. The course then provides insights into policy aspects of exchange rate economics, including exchange rate regimes; currency crises; currency unions and optimum currency areas; international role of currencies; and the international policy framework dealing with exchange rates such as the G7.

Central Bank Transparency: Per Nymand-Andersen (ECB)

Over the last decades, central banks have undergone a transformation from being secretive to transparent institutions. Today, they emphasize predictability of their actions as an important ingredient in conducting monetary policy. The course reviews the reasons for this development and its effects on the efficiency of monetary policy. It covers the current practice of central banks and discusses the optimal level of transparency related to, for instance, the quantification and announcement of central bank objectives and strategies, central bank communications, including the explanation of monetary policy decisions, as well as the release of central bank's own interest rate forecasts. The course will demonstrate the importance of accountability and transparency and its impact on trust. External practitioners from the financial markets and the central banking community may be invited as speakers during the course.

Monetary Transmission: Theory and Evidence: Andreas Worms (Bundesbank)

The course covers a broad range of issues around the monetary transmission process with a special focus on empirical work. It is intended to supply the participants with the main theoretical models of the monetary transmission process in general and the different monetary transmission channels in specific, as well as the main stylized facts on these issues with a focus on the Euro Area evidence. Moreover, it is intended to quickly touch upon some econometric methods commonly used in monetary transmission analysis. We will start with the general identification problem of monetary policy shocks and discuss several methods which are used in the literature to tackle this issue. We will then discuss the possibility to estimate the general transmission process from monetary policy to output and prices using the VAR technology and impulse response analysis. Here, several identification strategies for the structural shocks (e.g. Choleski decomposition, Blanchard-Quah long-run restrictions, sign-restrictions) could be discussed. Then, we will discuss the key role of expectations for monetary transmission and the econometric problems they create. Next, we will talk about the main transmission channels, such as the cost-of-capital channel, the credit channels, the asset price channel (including the role of house prices), the exchange rate channel and others. Here, we will discuss the theory as well as some econometric methods which are commonly used to identify such channels in empirical analysis, such as dynamic panel and cointegration analysis.



Finance Supplementary Courses

The following is an indicative list. Not all courses are necessarily offered every academic year; and the program may be enriched with further courses when appropriate and feasible.


Modern Portfolio Management: Thomas Stephan (RCM - Allianz Global Investors)

This course aims at equipping students with the most relevant fundamental methods of modern Quantitative Portfolio Management. While thoroughly introducing the theoretical concepts, the particular focus of this lecture will be on aspects of their implementation in the investment practice. We will look at strategic as well as tactical asset allocation for equity and bond portfolios, portfolio insurance strategies and the fundamentals of asset-liability management. Another focus of the course is on passive and active equity portfolio management. The course is completed by an introduction into risk models.

Decision Theory: Reinhard H. Schmidt (Goethe University)

Modern Decision Theory has developed since the middle of the 20th century through contributions from several academic disciples. It is the theory of decision making by rational individuals taken alone, in competition, and in groups. There are two main streams in the decisions theory: the normative (prescriptive) Decision Theory and the behavioral (or descriptive) Decision Theory. This course focuses on the normative decision theory for individuals (Traditional Decision Theory). Decision Theory represents a building block of almost all economic models. The theory offers a rich collection of techniques and procedures to reveal preferences and to introduce them into models of decision. Furthermore, a brief introduction to decisions making of non-cooperative interacting individuals (Game Theory) shall also be a part of this course. This course serves as an introductory methodical course and allows students to gain a sound knowledge in rational decision making.

Management of Emerging Risk Types - Risks beyond Market and Credit Risk: Gerrit van den Brink (ValueData7 GmbH) and Thomas Kaiser (KPMG)

Risk management in banks has focused on market and credit risk for the last decades. However, it has become more and more clear that this is probably just a small part of the risks banks are facing. Operational risk (which is a focus area of the lecture series) has gained in importance both due to a changing banking environment, several multi-billion EUR losses in the past, and last but not least the regulatory focus due to Basel II, the CRD and the national implementations thereof. Liquidity risk has become a burning issue these days with the financial crisis. Business risk, strategic risk and reputational risk have also gained acceptance, both as a component of Basel II Pillar II frameworks (e. g. as part of Economic Capital) and as an important part of decision-making of senior executives. This course outlines the definition of those risk types, the methodologies typically used by banks as part of the respective risk management processes, as well as the regulatory requirements influencing those frameworks. The current crisis shows that a silo-based view of the various risk types may be insufficient. Therefore, the holistic view is included as well. The focus of the lectures is on practical examples of what governance structures, reporting processes, risk assessment methodologies, and decision-making process look like, and only to a lesser degree on quantitative aspects of risk management.

Strategic Asset Allocation in Practice: Ken Nyholm (ECB)

This course will treat "strategic asset allocation" from a practical point of view. It will show how financial and econometric tools can be used to help design investment strategies for longer time-horizons. We will see how econometric techniques such as vector autoregressive models and regime switching models can be used to generate return projections for financial instruments, how business cycle dynamics can be integrated into the investment framework and how financial models such as the Capital Asset Pricing Model (CAPM) can be used to derive optimal asset allocations.