DA_TFM Theory of Financial Markets and Analysis of their Stability

University of Finance and Administration
Summer 2024
Extent and Intensity
2/0/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
Teacher(s)
prof. Dr. Ing. Jan Frait (lecturer)
Guaranteed by
prof. Dr. Ing. Jan Frait
Department of Finance – Departments – University of Finance and Administration
Contact Person: Dita Egertová
Prerequisites
D_FIR Financial institutions and their management
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
The objective of the course is to explain the behavior of financial markets and accumulation processes of risks to financial stability of individual financial institutions and the financial system as a whole. The student will learn how to analyze the determination of equilibrium macroeconomic trends and the emergence of imbalances leading to vulnerability of financial systems. Students will be able to explain and deal with the modeling and forecasting of financial market shocks and financial crises, the relationship between monetary policy, credit and asset price dynamics, analysis of financial market integration and regulation of financial markets emphasis on macroprudential policy.
Learning outcomes
The student will be able after the course: - understand differences between idiosyncratic and systemic risks; - understand the mechanics of financial cycles and the implications of these cycles for managing risks in financial institutions; - identify the signs of increases of both cyclical nad structural sources of systemic risk; - understand the tools of macroprudential policy and their potential impacts; - understand the essence and the ways of conducting the stress tests in variours sectors.
Syllabus
  • 1. Financial stability, financial vulnerabilities and macroprudential policy. 2. The time dimension of systemic risk pro-cyclical behavior of the financial system. Credit risk and procyclical effects or accounting standards. 3. International and European architecture of micro- and macro-regulation and supervision and its response to both idiosyncratic and systemic risks. 4. Credit cycle, credit risk and counter-cyclical capital policies. 5. Cross-sectional dimension of systemic risk - interconnection and mutual exposures between institutions and segments of the financial markets. 6. Assessment of of vulnerabilities in the financial system and the financial sector stress testing. 7. Sovereign risk - the special status of government bonds in the regulation of financial markets and operations of central banks, sovereign crisis. 8. Balance sheet liquidity, market liquidity and liquidity stress testing. 9. Property markets and their prices as a significant source of financial risk. 10. Monetary policy, asset prices, and financial risks. Alternative views on desirable responses of monetary policy to asset prices changes and financial imbalances. 11. Non-conventional monetary policies and their effects on financial markets. 12. Exchange rates, external imbalances and risk to financial stability.
Literature
    required literature
  • Mencía, J., Saurina, J.: Macroprudential policy: objectives, instruments and indicators. Occasional Paper no. 1601, Banco de Espana, 2016.
  • JUSELIUS, M., BORIO, C., DISYATAT, P., DREHMANN, M. (2016): Monetary policy, the financial cycle and ultra-low interest rates. Bank for International Settlements, Working Papers No 569, July 2016
    recommended literature
  • BCBS (2021): The procyclicality of loan loss provisions: a literature review. BCBS Working Paper 39, May
  • CGFS (2010): Macroprudential instruments and frameworks: a stocktaking of issues and experiences. Report published by the Committee on Global Financial Systems, BIS, May 2010.
  • Houben, A., Nijskens, R., Teunissen, M., eds.: Putting Macroprudential Policy to Work, DNB Occasional Studies 1207, Netherlands Central Bank, Research Department., 2014
Teaching methods
Teaching consists of lectures and individual/group consultations in combined studies. Students who do not meet the requirements for participation in education may be awarded during the semester additional study obligations (to the extent that you demonstrate academic achievement and gained competencies necessary for successful completion of course).
Assessment methods
Course is successfully completed by passing an examination. Condition for passing is submission of an essay or a working paper. The course is also part of the doctoral examination.
Language of instruction
English
Further comments (probably available only in Czech)
The course can also be completed outside the examination period.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
Teacher's information
The list of recommended reading for individual themes, presentations of individual lectures, literature relating to issues of seminar papers and selected research and analysis designed especially for combined studies are the integral part of this syllabus (see the study materials).
The course is also listed under the following terms Summer 2020, Summer 2021, Summer 2022, Summer 2023, Summer 2025.
  • Enrolment Statistics (Summer 2024, recent)
  • Permalink: https://is.vsfs.cz/course/vsfs/summer2024/DA_TFM