Module/Subject matter
Finance.
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Contents
During this course we will tackle different key issues related with financial economics. The main goal is to provide students an overall picture of what does behavioral finance and credit risk. In order to reach that goal we have designed the course as two research seminars. This means that sessions will essentially evolve around the presentation and discussion of some selected key papers. Students are expected to play an active role in the seminar. Consequently students are asked to present the papers and to participate in the subsequent discussion.
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General proficiencies
- GP1 Develop a critical and a constructive attitude to one's work and that of others
- GP2 Make use of quantitative documentary sources that are significant for the economic analysis of organisations from a critical perspective
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Specific proficiencies
- SP1 Analyse the behavior and the interrelationships among the different agents interested in the company`s future
- SP2 Display knowledge of the economic and institutional environment in which the economic agents interact within, or though, economic organisations
- SP3 Understand qualitative models of the firm and interpret their results
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Learning outcomes
- 3. Explain and motivate the analyses, interpret the results and present all these clearly and concisely in English
- 4. Identify the characteristics of the different agents linked to the company
- 5. Identify the relevant sources of information and their content for subsequent analysis
- 10. Present research results to various audiences using the different media available
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Methodology
Methodology-Activity |
Classroom Teaching |
Non-Classroom Teaching |
A-1 Regular Participative Sessions |
60 |
|
A-2 Practice |
10 |
15 |
A-3 Discussion and group tutorials |
25 |
|
A-4 Assignments |
|
30 |
A-5 Reading assigned material |
|
40 |
A-6 Individual Study |
|
50 |
A-7 Exams, evaluation exercises |
10 |
|
A-8 Individual tutorials |
|
10 |
Total |
105 |
145 |
Total |
250 |
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Evaluation
Activity |
Weight |
Reading assigned material |
20% |
Practice |
20% |
Discussion and group tutorials |
30% |
Exams, evaluation exercises |
30% |
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Agenda
Seminar in Finance and Markets
- Risk Management in banking. Market Risk and Credit Risk.
- Connectedness dynamics. Evidence from the CDS market. Margining and systemic risk.
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Bibliography
Access the bibliography that your professor has requested from the Library.
- Hull, J.C., 2012, Risk management and financial institutions. Ed. Pearson
Research Papers.
- Acharya, V., Drechsler, I., and Schnabl, P. (2014). A Pyrrhic victory? Bank Bailouts and Sovereign Credit Risk. The Journal of Finance, 69(6), 2689-739.
- Allen F. and Gale, D. (2000). Financial Contagion. Journal of Political Economy, 108(1), 1-33.
- Altman, E.I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance, 23, 4, 589-609.
- Bae, K., Karolyi, G. A. and Stulz, R. M. (2003). A New Approach to Measuring Financial Contagion. Review of Financial Studies, 16, 717-763.
- Ballester, L., Casu, B., and Gonzalez-Urteaga, A. (2016). Bank fragility and contagion: Evidence from the CDS market. Journal of Empirical Finance, 38, 394-416.
- Ballester, L., Gonzalez-Urteaga, A. (2017). How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets. Emerging Markets Review, 30, 200-214.
- Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 3, 637-654.
- Boissel, C., F. Derrien, E. Örs, and D. Thesmar (2017). Systemic Risk in Clearing Houses: Evidence from the European Repo Market. Journal of Financial Economics 125, 511-536.
- Brunnermeier, M., and L. H. Pedersen (2009). Market Liquidity and Funding Liquidity. Review of Financial Studies 22, 2201-2238.
- Campbell, J.Y., Hilscher, J., Szilagyi, J. (2008) In search of distress risk. Journal of Finance, 63, 6, 2899, 2939.
- De Bruyckere, V., Gerhardt, M., Schepens, G., and Vander Vennet, R. (2013). Bank/Sovereign Risk Spillovers during the European Debt Crisis. Journal of Banking & Finance, 37, 4793-4809.
- Diebold, F. and Yilmaz, K. (2012). Better to give than to receive: predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28, 57-66.
- Diebold, F., and K. Yilmaz (2014). On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms. Journal of Econometrics 182, 119-134.
- Dornbusch, R., Park, Y. C. and Cleassen, S. (2000). Contagion: Understanding How It Spreads. The World Bank Research Observer, 15, 177-197.
- Eichengreen, B., Mody, A., Nedeljkovic, M. and Sarno, L. (2012). How the Subprime Crisis went global: Evidence from bank credit default swap spreads. Journal of International Money and Finance, 31, 1299-1318.
- Elyasiani, E., Kalotychou, E., Staikouras, S. and Zhao, G. (2015). Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods. Journal of Financial Services Research, in press.
- Forbes, R. and Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Commovements. Journal of Finance, 57, 2223-2261.
- Hannan, T., Hanweck, G.A. (1988). Bank Insolvency Risk and the Market for Large Certificates of Deposit. Journal of Money, Credit and Banking, 20, 2, 203-211.
- Hillegeist, S.A., Keating, E.K., Cram, D.P., Lundsted, K.G. (2004). Assessing the Probability of Bankruptcy. Review of Accounting Studies, 9, 5-34.
- Kaminsky, G. L., Reinhart, C. M. and Vegh, C. A. (2003). The unholy trinity of financial contagion. The Journal of Economic Perspectives, 17, 51-74.
- Kubitza, C., L. Pelizzon, and M. Getmansky-Sherman (2018). The Pitfalls of Central Clearing in the Presence of Systemic Risk. SAFE Working Paper No 235, Center for Financial Studies, Goethe University.
- Longstaff, F. A. (2010). The Subprime Credit Crisis and Contagion in Financial Markets. Journal of Financial Economics, 97, 436-450.
- Merton, R.C. (1974). On the pricing of Corporate debt: The risk structure of interest rates. Journal of Finance, 29, 449-470.
- Ohlson, J.A. (1980). Financial Ratios and the Probabilistic Prediction of Bankruptcy. Journal of Accounting Research, 18, 1, 109-131.
- Pirrong, C. (2013). A Bill of Goods: CCPs and Systemic Risk. Working Paper, Bauer College of Business, University of Houston.
- Tonzer, L. (2015). Cross-border interbank networks, banking risk and contagion. Journal of Financial Stability, 18, 9-32.
- Zmijewski, M.E. (1984). Methodological Issues Related to the Estimation of Financial Distress Prediction Models. Journal of Accounting Research, 22, 59-82.
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Location
Public University of Navarre.
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