D_TFT Theory of financial markets and their stability analysis

University of Finance and Administration
Summer 2025
Extent and Intensity
2/0/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
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
  • 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
  • Mencía, J., Saurina, J.: Macroprudential policy: objectives, instruments and indicators. Occasional Paper no. 1601, Banco de Espana, 2016.
    recommended literature
  • FRAIT, J., KOMÁRKOVÁ, Z., (2011): Macroprudential Policy and Its Instruments in a Small EU Economy. Czech National Bank Research and Policy Note, RPN 3/2012.
  • KOMÁREK et al. (2013): Money, pricing and bubbles. Series of Advanced Macroeconomic Issues. Faculty of Economics, Technical University Ostrava.
  • KOMÁRKOVÁ, Z. - FRAIT, J. - KOMÁREK, L. (2013): Macroprudential Police in a Small Open Economy. Series of Advanced Macroeconomic Issues. Faculty of Economics, Technical University Ostrava.
  • BCBS (2010): Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems. Basel Committee on Banking Supervision.
  • BORIO, C. (2012), “The financial cycle and macroeconomics: What have we learnt?”, Bank for International Settlements Working Paper 395.
  • DREHMANN, M., BORIO, C., TSATSARONIS, K. (2012). ‘Characterising the financial cycle: don't lose sight of the medium term!’ Working Paper No. 380, BIS
  • BRUNNERMEIER, M. et al. (2009): The Fundamental Principles of Financial Regulation. Geneva Reports on the World Economy 11. International Center for Monetary and Banking Studies, January.
  • CGFS (2010): Macroprudential instruments and frameworks: a stocktaking of issues and experiences. Report published by the Committee on Global Financial Systems, BIS, May 2010.
  • FRAIT, J., KOMÁRKOVÁ, Z. (2013): Loan loss provisioning in selected European banking sectors: Do banks really behave in a procyclical way? Czech Journal of Economics and Finance 63, No. 4, pp. 308-326.
  • FRAIT, J., MALOVANÁ, S. TOMŠÍK, V.: Základní cíle centrální banky a interakce měnové a makroobezřetnostní politiky při jejich dosahování. Zpráva o finanční stabilitě 2014/2015, str. 108-118.
  • FRAIT, J. ET AL. (2017): Post-crisis banking regulation and its potential impacts in small open economies, EUROPRESS, Praha: University of Finance and Administration.
  • GERŠL, A.-SEIDLER, J. (2011): Nadměrný růst úvěrů jako indikátor finanční (ne)stability a jeho využití v makroobezřetnostní politice. Zpráva o finanční stabilitě 2010/2011. Česká národní banka, červen, ss. 111-121
  • HLAVÁČEK, M., KOMÁREK, L. (2009): Housing Price Bubbles and their Determinants in the Czech Republic and its Regions. CNB WP 12/2009.
  • IMF (2011): “Macroprudential Policy – An Organizing Framework.” IMF Policy Paper, International Monetary Fund, March 2011
  • Houben, A., Nijskens, R., Teunissen, M., eds.: Putting Macroprudential Policy to Work, DNB Occasional Studies 1207, Netherlands Central Bank, Research Department., 2014
    not specified
  • www.vsfs.cz/knihovna ;www.knihovna.vsfs.cz/info/volne_eiz.html;IS VŠFS → osobní administrativa → ProQuest
Teaching methods
Teaching consists of lectures in the form of full-time study and 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 conditions are the same for full-time and part-time study. The course is also part of the doctoral examination.
Language of instruction
Czech
Further comments (probably available only in Czech)
The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
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 Winter 2010, Summer 2011, summer 2012, Summer 2013, Summer 2014, Summer 2015, Summer 2016, Summer 2017, Summer 2018, Summer 2019, Summer 2020, Summer 2021, Summer 2022, Summer 2023, Summer 2024.
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