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.
Central Banking: Livio Stracca (ECB)
The course provides a broad overview of basic concepts as well open questions in central banking. Some lectures are focused on explaining key concepts of central banking, what central banks do and why they have become so influential for financial markets and the general public, especially in the wake of the global financial crisis. In the second part, the course deals with puzzles and open questions surrounding central banking, giving students a sense of the debate research. Question-specific lectures include, for example, the zero bound on nominal interest rates; whether central banks should target the inflation rate or the price level; whether and how low interest rates are detrimental to financial stability; and whether central banks will eventually disappear.
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.
International Macroeconomics: Macroeconomic Imbalances and Stabilization Policies: Jörg Zeuner (KFW)
You will develop in class the analytical framework for designing a macroeconomic reform program. You will then identify the macroeconomic imbalances of a case study economy. You will design in groups a macroeconomic adjustment program that you will finally present in class. Every student will separately submit a paper, outlining the imbalances that risk derailing the economy, a realistic stabilization program, its objectives and policy measures. Within each group, each student ideally covers at least one of the macroeconomic sectors, including the real economy, the balance of payments, the fiscal sector, the central bank, the domestic and external debt, and the financial system. Each group should work closely together in designing the adjustment program given the linkages among the sectors. You will jointly present the program, designed for avoiding a financial crisis.
Global Financial Markets under the Influence of Low Interest Rates and Quantitative Easing: Michael Heise (Allianz)
Interest rates have been in decline for the last 20 years. Most of the time, this was a response to changes in the economic environment and the downward trend mirrored slow growth and declining inflation. Are such factors also responsible for the most recent decline of interest rates? Are partly negative interest rates caused by the post-crisis economic environment, or are they mainly a result of ultra-loose monetary policy? How have these monetary policies affected economic growth and inflation? Has there been an impact through the portfolio channel or the credit channel of monetary transmission? Low interest rates are not without costs: They are a boon for borrowers like the state but a bane for savers. Also, they affect the willingness of investors to take risks and can have consequences for the stability of financial markets. The impact of low interest rates can be studied in the context of the development in Japan which also provides some lessons for economic policy. The module provides a framework for analysing the current situation of extreme low yields and their ramifications. While it will use standard economic models, it always relates the discussion to the current economic situation in Europe. In particular, the module will focus on those issues most relevant for assessing the monetary policy of the ECB. By developing an understanding of the European situation of low interest rates, the discussion will highlight necessary policy measures and tools for Europe to escape the growth trap of “too low for too long”.
Building Blocks of Securities Markets: Processes and Systems: Martin Reck (Deutsche Börse)
Part A: Securities Trading and Settlement – An Introduction: 1. Basic Concepts; 2. The Securities Marketplace; 3. Structure of a Securities Trading Organisation (STO); 4. Transaction Types; 5. Types of Securities; 6. Static Data. Part B: The Trade Lifecycle: 1. Trade Execution and Capture; 2. Trade Enrichment and Validation; 3. Trade Agreement; 4. Transaction Reporting; 5. Settlement Instructions; 6. The Role of the Custodian; 7. Pre Value Date Settlement Instruction Statuses; 8. Trade Settlement; 9. Reflecting Trade Settlement Internally. Part C: Systems, Components and Functionality. Part D: Securities Systems: 1. Trading Systems; 2. Clearing Systems; 3. Settlement Systems. Outlook: Algo trading (machines that trade); Volume increase / speed; Mergers / consolidation; Linking up infrastructure / systems; Time-to-market; Cost frame / technology innovation.
Introduction to Computational Finance: Philipp Gerlach
This hands-on computer-based course aims at students in the Master of Science in Money and Finance program with no or limited programming experience. After an introduction to programming in general and MATLAB in particular, participants will have basic a knowledge how to approach smaller programming projects. The larger second part will be a hands-on, self-guided, exercise-style course in which you will solve basic financial problems from the areas of portfolio selection, investment management, and asset pricing. Topics include multi-asset portfolio optimization with restrictions as well as Monte Carlo simulation for evaluating static and dynamic portfolio strategies. Students are expected to be familiar with the underlying fundamentals from finance.
Excel for Finance: Leo Cremer
Excel is a common tool for modeling und analyzing number driven problems, hence especially those common in finance. Going beyond just quick-and-dirty calculations, its spreadsheet structure and integrated functionality make extensive data analysis possible. Starting from scratch without assuming any prior knowledge, we are going to get acquainted with formulas, diagrams, and add-ins for data analysis. Hands-on applications covered are cash-flow models (basic functions, cell referencing, charts), time series (statistics incl. linear regression), simulation (random numbers, VBA), and portfolios (optimization, data input and management). All examples are implemented together in real-time.