OUR ACADEMIC DEPARTEMENTS |
Lesson details
LIQUIDITY RISK MANAGEMENT | |||
2018-2019 | EnIESEG School of Management
(
IÉSEG
)
| ||
Class code : | 1819-IÉSEG-M1S2-FIN-MA-EI49UE | FINANCE |
Level | Year | Period | Language of instruction |
---|---|---|---|
Master | 1 | S2 | EnEnglish |
Academic responsibility | R.BEAUPAIN |
---|---|
Lecturer(s) | Renaud BEAUPAIN |
- This class exists in these courses :
- IÉSEG > IESEG Degree - Programme Grande École > Semester 1 > 2,00 ECTS
Prerequisites
- Introduction to Financial Data Services (Bloomberg)
- Financial Econometrics
- Market Risk Management
Learning outcomes
- 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
Course description
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.
Class type
Class structure
Type of course | Numbers of hours | Comments | |
---|---|---|---|
Independent study | |||
Individual Project | 14,00 | ||
Estimated personal workload | 20,00 | ||
Face to face | |||
Interactive class | 16,00 | ||
Total student workload | 50,00 |
Teaching methods
- E-learning
- Interactive class
- Project work
- Research
Assessment
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.
Type of control | Duration | Number | Percentage break-down |
---|---|---|---|
Others | |||
Written Report | 0,00 | 1 | 100,00 |
TOTAL | 100,00 |
* This information is non-binding and can be subject to change