DA_TFM Theory of Financial Markets and Analysis of their Stability

Vysoká škola finanční a správní
léto 2024
Rozsah
2/0/0. 12 hodin KS/semestr. 10 kr. Ukončení: DZk.
Vyučující
prof. Dr. Ing. Jan Frait (přednášející)
Garance
prof. Dr. Ing. Jan Frait
Katedra financí (FES, KF) – Katedry – Vysoká škola finanční a správní
Kontaktní osoba: Dita Egertová
Předpoklady
D_FIR Financial institutions and their management
Omezení zápisu do předmětu
Předmět je otevřen studentům libovolného oboru.
Cíle předmětu
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.
Výstupy z učení
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.
Osnova
  • 1.Financial stability, financial crisis and macroprudential policy. 2.Monetary policy, asset prices and risks to financial stability. Coordination of monetary and macroprudential policies. 3.The time dimension of systemic risk pro-cyclical behavior of the financial system. Credit risk and procyclical effects or accounting standards. 4. Procyclical behaviour of banks and countercyclical capital reserve. 5.Cross-sectional dimension of systemic risk - interconnection and mutual exposures between institutions and segments of the financial markets. 6.Indicators of vulnerabilities in the financial system and financial sector stress testing. 7.Balance sheet liquidity, market liquidity and liquidity stress testing. 8. Integration of financial markets and its impact on the behaviour of financial markets. 9.Property markets and their prices as a significant source of financial risk. 10.Sovereign risk - the special status of government bonds in the regulation of financial markets and operations of central banks, sovereign crisis.
Literatura
    povinná literatura
  • 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
    doporučená literatura
  • 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
Výukové metody
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).
Metody hodnocení
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.
Vyučovací jazyk
Angličtina
Informace učitele
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).
Další komentáře
Předmět je dovoleno ukončit i mimo zkouškové období.
Předmět je zařazen také v obdobích léto 2020, léto 2021, léto 2022, léto 2023, léto 2025.