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Calendar

Jun
6
Wed
Liquidity, Price Discovery, Risk and Market Design @ EUI Premises, Florence
Jun 6 – Jun 8 all-day
Liquidity, Price Discovery, Risk and Market Design @ EUI Premises, Florence | Firenze | Toscana | Italy

Course Instructors: Thierry Foucault (HEC Paris)
Area: Statistical and Econometric Methods
Level: Intermediate/Advanced

This course will focus on the following topics:

  • Models of price discovery and illiquidity in financial markets
  • Estimating the determinants of illiquidity with intraday data.
  • Market design and policy (market transparency, algorithmic and high frequency trading, OTC vs. centralized trading).
  • Real effects of liquidity and price discovery.

This course is targeted at Researchers in central banks, Ph.D. and Post-doctoral researchers, Assistant Professors, Research departments of private banks, EU officials.

Click here for further information and registration

Jun
28
Thu
Credit and Market Risk Management: A Value-based Approach @ EUI Premises, Florence
Jun 28 – Jun 29 all-day
Credit and Market Risk Management: A Value-based Approach @ EUI Premises, Florence | Firenze | Toscana | Italy

Course Instructors: Jean Dermine (Insead)
Area: Risk Management
Level: Intermediate

This course will focus on the following topics:

  • Probability of Default (PD) calibration and validation
  • Loss Given Default (LGD) – What do we know about LGDs?
  • Discount rate in LGDs.
  • Regulatory updates regarding LGDs.
  • Value-at-Risk.

This course is targeted at Financial stability and research department of Central Banks, Ph. D. students, private sector economists, EU officials.

Click here for further information and registration