Ce cours apparaît dans les formations suivantes :
• IÉSEG > IESEG Degree - Programme Grande École > Semester 1 > 2,00 ECTS

Pré requis

- Introduction to Financial Data Services (Bloomberg)
- Financial Econometrics
- Market Risk Management

Objectifs du cours

- Understand the importance of incorporating liquidity risk in risk management frameworks
- Monitor market liquidity on Bloomberg terminals
- Extract high frequency data in Excel and use econometric software to test hypotheses
- Critically describe seminal research in empirical market microstructure

Contenu du cours

This course is designed to introduce students to the monitoring and management of liquidity risk. Liquidity is first introduced by differentiating market liquidity from funding liquidity. International standards and academic literature in the field are then discussed. Bloomberg, Microsoft Excel and Eviews are used to build a framework for monitoring liquidity risk in real time. The techniques presented during the course make extensive use of the Bloomberg terminal and of its interface with Microsoft Excel.

Modalités d'enseignement

Organisation du cours

Méthodes pédagogiques

• E-learning
• Interactive class
• Project work
• Research

Évaluation

The assessment for this course consists of one assignment. The project is designed to assess your ability to monitor liquidity risk on a Bloomberg terminal and your understanding of liquidity dimensions and of the associated risks.