Supplementary Courses

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.

In this course, students will develop the analytical framework of a growth accounting exercise for a developed economy, similar to the one applied by many international organizations and applied research institutes. Students will work on a project to estimate the drivers of economic growth in a country of their choice. As part of the project, students write up the results in a paper and present their results. Class work will consist of individual and team work.

This course reviews the latest research on central banks transparency and reviews the transformation of central banks to become more transparent, accountable, predictable as an important ingredient for communicating monetary policy and for safeguarding financial stability. The course combines guest speakers, case studies and lectures as part of reviewing the reasons for these developments and for providing markets with forward guidance as part of anchoring long-term inflation expectations.  The lecture covers current practice of central banks and discusses the optimal level of transparency for independent institutions and the impact on trust.

The course provides a broad overview of basic conceptions as well as open questions in central banking. Some lectures are focused on explaining key concepts of central banking is, 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 at the frontier of 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

The course will review the main stages of the 2007-2016 crisis, analyse the economic, financial, social and political legacy of the crisis so far, and rationalise the economic, financial and institutional transformations under way.

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.

The course covers five main topics in the area of international finance:

(i) stylised facts in the risk-return profile and key characteristics of international financial portfolios;

(ii) the structure of the asset management industry and stylised facts on cross border portfolio flows;

(iii) the global financial cycle (in particular the shifts between ”risk on” and ”risk off” episodes) as driver of portfolio flows and asset returns in different countries, and the role of internationally active financial intermediaries (e.g. global banks);

(iv) the role of country fundamentals and policies in driving portfolio flows; and

(v) policy implications of volatile portfolio flows for advanced and emerging markets.

The aim of the course is to provide an accessible entry to the growing literature in this area and to provide stylised facts and suggestions for further reading and research. The slides will be posted online before each lecture, and the course may also foresee seminars led by the students.

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”.

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.

In the first and second session, the class will jointly identify the linkages among the economic sectors, key forecasting tools, and a range of economic policy tools in the fiscal, monetary, exchange rate, and debt areas. The following sessions are for students to discuss the case study and further questions in class. The papers and presentation have to be submitted after these „Q+A”sessions, but before the last session. You are expected to present in the last session a joint, consistent, and realistic macroeconomic framework and adjustment scenario that appropriately addresses the macroeconomic imbalances. The class will compare their scenarios. Further information will be given in the seminar sessions.

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.

Outline:

I. Introduction

II. Sampling theory

III. Analysis of variance

IV. Regression analysis

V. Factor analysis

VI. Cluster analysis

VII. Discriminant analysis

VII. Record linkage

This course aims to teach students multivariate statistical methods such as regression models, variance, factor, discriminant and cluster analysis. It builds upon the methodical knowledge from descriptive and inductive statistics, thus previous knowledge in these areas is a prerequisite. Furthermore the topic record linkage should give a first inside view in techniques to integrate data from different sources. In addition to the theoretical lessons, students have the opportunity to practice the methods using the statistical programme SPSS. The objective is to enable students to apply the procedures to the ‘CAMPUS—Files’ data sets. Supplied by the Research Data Centres of the Federal Statistical Office and based on official microdata, CAMPUS—Files are optimal for gathering experience in handling large datasets and exercising theory in a practical manner.

This course examines the instruments used by central banks to steer financial conditions in order to achieve their final objectives. We first look at ”conventional” monetary policy aimed at steering the level of short term money market rates by adjusting the supply of liquidity to the money market. We then examine “unconventional” monetary policy as pursued by a number of central banks in the aftermath of the crisis. Among these measures examined are asset purchase programs and the use of forward guidance to steer interest rates of longer maturity. As well as describing the instruments, we review underlying theory and the empirical evidence regarding the effectiveness of the various instruments.