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Economics 872

Course Outline

Documents available for downloading:

A Survey of Macroprudential Policy Issues (Slides)
The ECB and the hidden cost of saving the euro (Ruparel and Persson)
Anatomy of the Credit Crisis (Milne)
Neglected Risks, Financial Innovation, and Financial Fragility (Gennaioli, Shleifer, and Vishny)
A Model of Shadow Banking (Gennaioli, Shleifer, and Vishny)
An autopsy of the US financial system (Levine)
Time for Stability in Derivatives Markets (C.D. Howe Institute)
The Quantitative Revolution and the Crisis
Credit Default Swaps Liquidity modeling (Survey)
Credit Risk (Jarrow and Turnbull Ch. 18)
Background to the Merton model.
Additional background to the Merton model.
Copula Concepts in Financial Markets (Rachev,Stein and Sun)
Copulas: A personal view (Paul Embrechts)
Macroeconomics after the Crisis (Ricardo J. Caballero)
Capital Discipline
Securitisation and Financial Stability
Market Liquidity Risk - An Overview
Why and How to Integrate Liquidity Risk into a VaR-Framework
The Impact of Innovation and Evolution on the Regulation of Capital Markets - Frank Milne
Meissner - Chapter 5
How big banks fail and what to do about it.
Securitization Without Risk Transfer
Gone Concern Analysis and Tactics for the Credit Workout
Corporate Risk Evaluation Checklist
Credit Risk, Default Loss, and the Economics of Bankruptcy
This Time is Different: A Panoramic View of Eight Centuries of Financial Crises
Towards a Framework for Quantifying Systemic Stability
Risk Management Lessons from Long-Term Capital Management
Banking System Risk Assessment
Securities Lending and Repos: Market Overview and Financial Stability Issues
Stress Testing Banks
The True Lessons of the Recession
The implicit subsidy of banks
Testimony

Links:

DefaultRisk.com
Interview with Raghuram Rajan
Russell Sage Foundation Conference - "Rethinking Finance" Papers