Event Resources - RBI-ITP - Reserve Bank of India
Courses and Schedules Content
Courses and Schedules : 2013 (Interim) | ||||||
---|---|---|---|---|---|---|
Depart | Course Id | Course Title | Process Method | Course Begin Date | Course End Date | Duration in weeks |
INS | MMF | Macroeconomic Management and Financial Sector Issues (MMF) | Invitation | 28/01/2013 | 08/02/2013 | 2 |
MCM | FSMP | Financial Stability, Systemic Risk and Macro-prudential Policy (FSMP) | Invitation | 11/02/2013 | 15/02/2013 | 1 |
STA | MFS | Introductory Course on Monetary and Financial Statistics (MFS -1) | Invitation | 04/03/2013 | 15/03/2013 | 2 |
FAD | Budgetary Forecasting under Severe Data Constraints and Macro-economic Volatility | Invitation | 15/04/2013 | 19/04/2013 | 1 |
Macroeconomic Management and Financial Sector Issues (MMF)
By Invitation |
|
Course No.: | IP 13.01 |
Location: | Pune, India (ITP) |
Date: | January 28 – February 8, 2013 (2 Weeks) |
Language: | English |
Target Audience:
Mid- to senior-level officials in central banks, ministries of finance, and regulatory agencies involved in the formulation and implementation of macroeconomic and financial policies.
Qualifications:
Participants should have an advanced degree in economics or equivalent experience.
Course Description:
This two-week course, presented by the IMF’s Institute for Capacity Development, examines the policy dilemmas confronting authorities in developing and emerging market economies, and the options available to policymakers, with special attention to how financial sector issues interact with macroeconomic management. The course covers a number of key macroeconomic topics, such as stabilization and growth, fiscal and external debt sustainability, frameworks for monetary policy, choice of the exchange rate regime, and international capital flows. It also addresses financial sector topics, such as the role of financial sector in the economy, the relationship between financial fragility and macroeconomic stability, financial sector policies, and policies to address financial crisis. The course content is differentiated to better address issues relevant to different regions.
Participants are expected to engage in discussions throughout the course and are divided into small groups, under the direction of counselors, to conduct workshop exercises aimed at solidifying their understanding of the lecture materials. Participants may also be asked to make presentations on key policy issues of interest in their countries.
Financial Stability, Systemic Risk, and Macro-Prudential Policy (FSMP)
By Invitation |
|
Course No.: | IP 13.02 |
Location: | Pune, India (ITP) |
Date: | February 11 – 15, 2013 (1 Week) |
Language: | English |
Target Audience:
Officials involved in financial regulation or financial stability analysis from central banks or ministries of finance. Qualifications: Participants are expected to have an advanced degree in economics finance or equivalent experience.
Course Description:
The one-week course, presented by the IMF’s Monetary and Capital Markets Department, is designed for central bankers and financial regulators to provide up-to-date information on the identification of risks that can threaten the stability of the financial system, and approached to mitigating these risks. The course draws on the lessons, and the international policy and regulatory responses to the recent financial crisis.
The topics covered include:
- role, objectives and lessons for the design of financial stability analysis and macro-prudential policy in light of the recent financial crisis;
- quantitative techniques for the identification and assessment of macro-financial and systemic risks: modeling systemic default and liquidity risk, contingent claims analysis (CCA) and systemic CCA with applications, comparison of systemic risk modeling and how the models are related to each other, and interaction of financial sector and sovereign risk;
- design financial stability reports and communication strategies;
- approaches to mitigating systemic risks, including international regulatory initiatives on systemic risk charges, extending the perimeter of regulation, and the design of crisis management arrangements; and
- Institutional arrangements, including the role of systemic risk regulators, and cross-border and international collaboration.
In addition to a series of lectures, participants of the course will be invited to share relevant national experiences in addressing the above topics.
Introductory course on Monetary and Financial Statistics (MFS-1)
By Invitation |
|
Course No.: | IP 13.03 |
Location: | Pune, India (ITP) |
Date: | March 4 – 15, 2013 (2 Weeks) |
Language: | English |
Target Audience:
Central Bank officials responsible for the compilation of monetary and financial statistics.
Qualifications:
Participants should have a degree in economics, statistics or equivalent experience.
Course Description:
This two-week course, presented by the IMF’s Statistics Department, is designed to assist officials in the compilation of monetary and financial statistics in accordance with international best practices. The course materials are based on the Monetary and Financial Statistics Manual and the Monetary and Financial Statistics: Compilation Guide.
The course discusses the principles of economic sectorization, the characteristics and classification of financial instruments, and valuation and other accounting issues that are relevant to the compilation of analytical accounts for the entire financial sector, comprising the central bank, other depository corporations, and other financial corporations. The course consists of lectures, workshops, and case studies that familiarize the participants with practical aspects of monetary statistics compilation, in particular with respect to the standardized report forms (SRFs) for central bank and other depository corporations. Participants are expected to make a short presentation on monetary statistics compilation issues for a depository corporation in their countries.
Budgetary Forecasting under Severe Data Constraints and Macroeconomic Volatility
By Invitation |
|
Course No.: | IP 13.04 |
Location: | Pune, India (ITP) |
Date: | April 15 - 19, 2013 (1 Week) |
Language: | English |
Target Audience:
Officials from central banks, ministries of finance, and regulatory agencies Qualifications: Participants should have a degree in economics, statistics or equivalent experience.
Course Description:
Budgetary forecasting under strict data constraints: this module would discuss the practical issues involved with forecasting under limited availability and quality of data. It would then discuss how to produce the best possible forecasts under such constraints. Practical questions to answer would be: to what extent can we rely on econometric methods? How to assess the quality of a forecasting tool? When and how can we use judgment? How do we check and ensure consistency across different sets of forecasts (macro, financial, fiscal)? Ultimately, participants should be able to produce forecasts they feel comfortable with from a technical point of view.
Intra-year monitoring and reporting: This module would introduce tools for the higher-frequency (monthly, quarterly) monitoring of revenue collection and budget execution, again bearing in mind data and capacity constraints. The early detection of incipient deviations potentially requiring policy corrections would be a paramount objective of the module. We would conclude on ways how to structure monthly/quarterly notes on budget performance.
Institutional prerequisites of an effective and efficient macro-fiscal unit: This module would present and discuss best practice in institutionalizing a macro-fiscal unit providing ‘the biggest bang for the buck’. This would include a discussion of the remit of the macro-fiscal unit and the procedures required to ensure adequate data and information sharing among different departments and ministries.
Course on Financial Market Analysis Pune, India October 22 – November 2, 2012
Session | Reading | Source |
---|---|---|
L–1 | The Role of Financial Markets | |
Asmundson, Irena, 2011, “What are Financial Services?” Finance and Development, Vol. 48, No. 1. March. Available via: http://www.imf.org/external/pubs/ft/fandd/2011/03/pdf/basics.pdf | USB | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “The Investment Environment,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 1. | Distributed separately | |
Mishkin, Frederic, 2010, “An Economic Analysis of Financial Structure,” Chapter 8 in The Economics of Money, Banking, and Financial Markets (New York: Prentice Hall, 9th ed.), pp. 169–197. | Distributed separately |
|
Sheng, Andrew, 2006, “The Art of Reform,” Finance and Development, Vol. 43, No. 2. June. Available via: http://www.imf.org/external/pubs/ft/fandd/2006/06/sheng.htm | USB | |
Supplementary: Levine, Ross, 2005, “Finance and Growth: Theory and Evidence” in Handbook of Economic Growth, ed. by. Philippe Aghion and Steven Durlauf (Amsterdam: Elsevier Science). Available via: http://www.econ.brown.edu/fac/Ross_Levine/Publication/Forthcoming/Forth_Book_Durlauf_FinNGrowth.pdf |
Link Only | |
L–2 | Financial Instruments | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “Asset Classes and Financial Instruments,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 2. | Distributed separately |
|
Fabozzi, Frank J., and Steven V. Mann, 2000, “Private Money Market Instruments,” in The Handbook of Fixed Income Securities (New York: McGraw Hill, 6th ed.), Chapter 10, pp. 231–251. | Distributed separately |
|
Grinblatt, M., and S. Titman (eds.), 2002, “Debt Financing,” in FinancialMarkets and Corporate Strategy (New York: McGraw Hill), Chapter 2, pp. 29–75. | Distributed separately |
|
Jobst, Andreas, 2008, “What is Securitization?” Finance and Development, Vol. 45, No. 3. September. Available via : http://www.imf.org/external/pubs/ft/fandd/2008/09/pdf/basics.pdf | USB | |
Supplementary: Stulz, René M., 2004, “Should We Fear Derivatives?” Journal of Economic Perspectives, Volume 18, No. 3, pp. 173–192. Available via : http://pubs.aeaweb.org/doi/pdfplus/10.1257/0895330042162359 |
Link Only | |
L–3 | The Firm’s Financing Decision | |
Barclay, Michael J., and Clifford W. Smith, Jr., 2005, “The Capital Structure Puzzle: The Evidence Revisited,” Journal of Applied Corporate Finance, Vol. 17, No. 1. Available via: http://onlinelibrary.wiley.com/doi/10.1111/j.1745-6622.2005.012_2.x/abstract | Link Only | |
Myers, Stewart C., 2001, “Capital Structure,” Journal of Economic Perspectives, Vol. 15, No. 2 (Spring), pp. 81–102. Available via: http://pubs.aeaweb.org/doi/pdfplus/10.1257/jep.15.2.81 | Link Only | |
Supplementary: Fan, Joseph P.H., and Sheridan Titman, 2010, “An International Comparison of Capital Structure and Debt Maturity Choices,” NBER Working Paper 16445 (Cambridge, MA: National Bureau of Economic Research). Available via: http://www.nber.org/papers/w16445 |
Link Only | |
Supplementary: International Monetary Fund, 2005, “Corporate Finance in Emerging Markets,” Chapter 4 in Global Financial Stability Report, April (Washington). Available via: http://www.imf.org/External/Pubs/FT/GFSR/2005/01/pdf/chp4.pdf |
USB | |
Supplementary: Myers, Stewart C., 1984, “The Capital Structure Puzzle,”Journal of Finance. July, 39:3, pp. 575–92. Available via: http://www.nber.org/papers/w1393.pdf | Link Only | |
Supplementary: Rajan, Raghuram G. and Luigi Zingales, 1995, “What Do We Know about Capital Structure? Some Evidence from International Data,” Journal of Finance, December, 50:5, pp. 1421–1460. Available Via: http://www.nber.org/papers/w4875.pdf |
Link Only | |
L–4 | Primary and Secondary Markets for Securities | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “How Securities are Traded,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 3. | Distributed separately |
|
Dodd, Randall, 2008, “Over-the-Counter Markets: What are They?”Finance and Development, Vol. 45, No. 2. June. Available via: http://www.imf.org/external/pubs/ft/fandd/2008/06/pdf/basics.pdf | USB | |
International Monetary Fund and The World Bank, 2001, “Developing a Primary Market for Government Securities,” Chapter 5 in Developing Government Bond Markets: A Handbook (Washington). pp. 153–178. Available via: http://go.worldbank.org/4THPS6HUW0 |
Link Only | |
Supplementary: International Monetary Fund, 2005, “Development of Corporate Bond Markets in Emerging Market Countries,” Chapter 4 in Global Financial Stability Report, September (Washington). Available via: http://www.imf.org/External/Pubs/FT/GFSR/2005/01/pdf/chp4.pdf |
USB | |
Supplementary: International Monetary Fund, 2010, “Making Over-the- Counter Derivatives Safer: The Role of Central Counterparties,” Chapter 3 in Global Financial Stability Report, April (Washington). Available via: http://www.imf.org/external/pubs/ft/gfsr/2010/01/pdf/chap3.pdf |
USB | |
L-5 | Pricing Money Market Instruments | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “Introduction to Risk, Return and the Historical Record,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 5. | Distributed separately |
|
L-6 | Bond Pricing | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “Bond Prices and Yields,” inInvestments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 14. | Distributed separately |
|
L–7 | Bond Price Volatility | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “Managing Bond Portfolios,” inInvestments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 16. | Distributed separately |
|
L–8 | Term Structure of Interest Rates | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “The Term Structure of Interest Rates,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 15. | Distributed separately |
|
Campbell, John Y. 1995, “Some Lessons from the Yield Curve,” Journalof Economic Perspectives, Volume 9, No. 3 (Summer), pp. 129–152. Available via: http://www.nber.org/papers/w5031.pdf | Link Only | |
Estrella, A., and M. R. Trubin, 2006, “The Yield Curve as a Leading Indicator: Some Practical Issues,” Current Issues in Economics and Finance, Federal Reserve Bank of New York, Volume 12, No. 5, July/August. Available via: http://www.newyorkfed.org/research/current_issues/ci12-5.pdf | USB | |
L-9 | Equity Pricing | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “The Efficient Market Hypothesis,” and “Equity Valuation Models,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 11 and 18. | Distributed separately |
|
Wetherilt, Anne Vila and Olaf Weeken, 2002, “Equity Valuation Measures: What Can They Tell Us?” Bank of England Quarterly Bulletin, Winter. Available via: http://www.bankofengland.co.uk/publications/quarterlybulletin/qb020403.pdf | USB | |
Supplementary: Shiller, Robert. J., 2003, “From Efficient Markets Theory to Behavioral Finance,” Journal of Economic Perspectives, Volume 17, No. 1, pp. 83–104. Available via: http://pubs.aeaweb.org/doi/pdfplus/10.1257/089533003321164967 |
Link Only | |
L–10 | Asset Allocation and Diversification | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “Risk Aversion and Capital Allocation to Risky Assets,” “Optimal Risky Portfolios,” and “The Capital Asset Pricing Model,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.). |
Distributed separately |
|
Black, F., and R. Litterman, 1992, “Global Portfolio Optimization,” Financial Analysts Journal, pp. 28–43. | Distributed separately |
|
Eugene F. Fama, and K. R. French, 2004, “The Capital Asset Pricing Model: Theory and Evidence,” Journal of Economic Perspectives, Vol. 18, No. 3. (Summer), pp. 25–46. Available via: http://pubs.aeaweb.org/doi/pdfplus/10.1257/0895330042162430 |
Link Only | |
Odier, P., and B. Solnik, 1993, “Lessons for International Asset Allocation,” Financial Analysts Journal, pp. 63–77. | Distributed separately |
|
L–11 | Value at Risk | |
Jorion, Philippe, 2001, “Computing Value at Risk,” in Value at Risk (New York: McGraw-Hill, 2nd ed.), Chapter 5, pp. 107–128. | Distributed separately |
|
Supplementary: Haldane, Andrew G. and Ben Nelson, 2012, “Tails of Unexpected,” paper given at conference held at the University of Edinburgh Business School, “The Credit Crisis Five Years On: Unpacking the Crisis,” Edinburgh, June. Available via: http://www.bankofengland.co.uk/publications/Documents/speeches/2012/speech582.pdf |
USB | |
Supplementary: International Monetary Fund, 2007, “Do Market Risk Management Techniques Amplify Systemic Risks?” Chapter 2 in Global Financial Stability Report, April (Washington). Available via: http://www.imf.org/External/Pubs/FT/GFSR/2007/02/pdf/chap2.pdf | USB | |
L–12 | Presentation on the Practical Use of FMA Analytical Tools | |
No Required Readings |
Course on Macroeconomic Management and Fiscal Policy Pune, India September 10–21, 2012
Session | Reading | Source |
---|---|---|
L–1 | The Role of Financial Markets | |
Asmundson, Irena, 2011, “What are Financial Services?” Finance and Development, Vol. 48, No. 1. March. Available via: http://www.imf.org/external/pubs/ft/fandd/2011/03/pdf/basics.pdf | USB | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “The Investment Environment,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 1. | Distributed separately |
|
Mishkin, Frederic, 2010, “An Economic Analysis of Financial Structure,” Chapter 8 in The Economics of Money, Banking, and Financial Markets (New York: Prentice Hall, 9th ed.), pp. 169–197. | Distributed separately |
|
Sheng, Andrew, 2006, “The Art of Reform,” Finance and Development, Vol. 43, No. 2. June. Available via: http://www.imf.org/external/pubs/ft/fandd/2006/06/sheng.htm | USB | |
Supplementary: Levine, Ross, 2005, “Finance and Growth: Theory and Evidence” in Handbook of Economic Growth, ed. by. Philippe Aghion and Steven Durlauf (Amsterdam: Elsevier Science). Available via: http://www.econ.brown.edu/fac/Ross_Levine/Publication/Forthcoming/Forth_Book_Durlauf_FinNGrowth.pdf |
Link Only | |
L–2 | Financial Instruments | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “Asset Classes and Financial Instruments,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 2. | Distributed separately |
|
Fabozzi, Frank J., and Steven V. Mann, 2000, “Private Money Market Instruments,” in The Handbook of Fixed Income Securities (New York: McGraw Hill, 6th ed.), Chapter 10, pp. 231–251. | Distributed separately |
|
Grinblatt, M., and S. Titman (eds.), 2002, “Debt Financing,” in FinancialMarkets and Corporate Strategy (New York: McGraw Hill), Chapter 2, pp. 29–75. | Distributed separately |
|
Jobst, Andreas, 2008, “What is Securitization?” Finance and Development, Vol. 45, No. 3. September. Available via : http://www.imf.org/external/pubs/ft/fandd/2008/09/pdf/basics.pdf | USB | |
Supplementary: Stulz, René M., 2004, “Should We Fear Derivatives?” Journal of Economic Perspectives, Volume 18, No. 3, pp. 173–192. Available via : http://pubs.aeaweb.org/doi/pdfplus/10.1257/0895330042162359 |
Link Only | |
L–3 | The Firm’s Financing Decision | |
Barclay, Michael J., and Clifford W. Smith, Jr., 2005, “The Capital Structure Puzzle: The Evidence Revisited,” Journal of Applied Corporate Finance, Vol. 17, No. 1. Available via: http://onlinelibrary.wiley.com/doi/10.1111/j.1745-6622.2005.012_2.x/abstract | Link Only | |
Myers, Stewart C., 2001, “Capital Structure,” Journal of Economic Perspectives, Vol. 15, No. 2 (Spring), pp. 81–102. Available via: http://pubs.aeaweb.org/doi/pdfplus/10.1257/jep.15.2.81 | Link Only | |
Supplementary: Fan, Joseph P.H., and Sheridan Titman, 2010, “An International Comparison of Capital Structure and Debt Maturity Choices,” NBER Working Paper 16445 (Cambridge, MA: National Bureau of Economic Research). Available via: http://www.nber.org/papers/w16445 |
Link Only | |
Supplementary: International Monetary Fund, 2005, “Corporate Finance in Emerging Markets,” Chapter 4 in Global Financial Stability Report, April (Washington). Available via: http://www.imf.org/External/Pubs/FT/GFSR/2005/01/pdf/chp4.pdf |
USB | |
Supplementary: Myers, Stewart C., 1984, “The Capital Structure Puzzle,”Journal of Finance. July, 39:3, pp. 575–92. Available via: http://www.nber.org/papers/w1393.pdf | Link Only | |
Supplementary: Rajan, Raghuram G. and Luigi Zingales, 1995, “What Do We Know about Capital Structure? Some Evidence from International Data,” Journal of Finance, December, 50:5, pp. 1421–1460. Available Via: http://www.nber.org/papers/w4875.pdf |
Link Only | |
L–4 | Primary and Secondary Markets for Securities | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “How Securities are Traded,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 3. | Distributed separately |
|
Dodd, Randall, 2008, “Over-the-Counter Markets: What are They?”Finance and Development, Vol. 45, No. 2. June. Available via: http://www.imf.org/external/pubs/ft/fandd/2008/06/pdf/basics.pdf | USB | |
International Monetary Fund and The World Bank, 2001, “Developing a Primary Market for Government Securities,” Chapter 5 in Developing Government Bond Markets: A Handbook (Washington). pp. 153–178. Available via: http://go.worldbank.org/4THPS6HUW0 |
Link Only | |
Supplementary: International Monetary Fund, 2005, “Development of Corporate Bond Markets in Emerging Market Countries,” Chapter 4 in Global Financial Stability Report, September (Washington). Available via: http://www.imf.org/External/Pubs/FT/GFSR/2005/01/pdf/chp4.pdf |
USB | |
Supplementary: International Monetary Fund, 2010, “Making Over-the- Counter Derivatives Safer: The Role of Central Counterparties,” Chapter 3 in Global Financial Stability Report, April (Washington). Available via: http://www.imf.org/external/pubs/ft/gfsr/2010/01/pdf/chap3.pdf |
USB | |
L–5 | Pricing Money Market Instruments | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “Introduction to Risk, Return and the Historical Record,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 5. | Distributed separately |
|
L–6 | Bond Pricing | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “Bond Prices and Yields,” inInvestments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 14. | Distributed separately |
|
L–7 | Bond Price Volatility | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “Managing Bond Portfolios,” inInvestments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 16. | Distributed separately |
|
L–8 | Term Structure of Interest Rates | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “The Term Structure of Interest Rates,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 15. | Distributed separately |
|
Campbell, John Y. 1995, “Some Lessons from the Yield Curve,” Journalof Economic Perspectives, Volume 9, No. 3 (Summer), pp. 129–152. Available via: http://www.nber.org/papers/w5031.pdf | Link Only | |
Estrella, A., and M. R. Trubin, 2006, “The Yield Curve as a Leading Indicator: Some Practical Issues,” Current Issues in Economics and Finance, Federal Reserve Bank of New York, Volume 12, No. 5, July/August. Available via: http://www.newyorkfed.org/research/current_issues/ci12-5.pdf | USB | |
L–9 | Equity Pricing | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “The Efficient Market Hypothesis,” and “Equity Valuation Models,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.), Chapter 11 and 18. | Distributed separately |
|
Wetherilt, Anne Vila and Olaf Weeken, 2002, “Equity Valuation Measures: What Can They Tell Us?” Bank of England Quarterly Bulletin, Winter. Available via: http://www.bankofengland.co.uk/publications/quarterlybulletin/qb020403.pdf | USB | |
Supplementary: Shiller, Robert. J., 2003, “From Efficient Markets Theory to Behavioral Finance,” Journal of Economic Perspectives, Volume 17, No. 1, pp. 83–104. Available via: http://pubs.aeaweb.org/doi/pdfplus/10.1257/089533003321164967 |
Link Only | |
L–10 | Asset Allocation and Diversification | |
Bodie, Z., A. Kane, and A. Marcus, 2011, “Risk Aversion and Capital Allocation to Risky Assets,” “Optimal Risky Portfolios,” and “The Capital Asset Pricing Model,” in Investments and Portfolio Management (New York: McGraw Hill, 9th ed.). |
Distributed separately |
|
Black, F., and R. Litterman, 1992, “Global Portfolio Optimization,” Financial Analysts Journal, pp. 28–43. | Distributed separately |
|
Eugene F. Fama, and K. R. French, 2004, “The Capital Asset Pricing Model: Theory and Evidence,” Journal of Economic Perspectives, Vol. 18, No. 3. (Summer), pp. 25–46. Available via: http://pubs.aeaweb.org/doi/pdfplus/10.1257/0895330042162430 |
Link Only | |
Odier, P., and B. Solnik, 1993, “Lessons for International Asset Allocation,” Financial Analysts Journal, pp. 63–77. | Distributed separately |
|
L–11 | Value at Risk | |
Jorion, Philippe, 2001, “Computing Value at Risk,” in Value at Risk (New York: McGraw-Hill, 2nd ed.), Chapter 5, pp. 107–128. | Distributed separately |
|
Supplementary: Haldane, Andrew G. and Ben Nelson, 2012, “Tails of Unexpected,” paper given at conference held at the University of Edinburgh Business School, “The Credit Crisis Five Years On: Unpacking the Crisis,” Edinburgh, June. Available via: http://www.bankofengland.co.uk/publications/Documents/speeches/2012/speech582.pdf |
USB | |
Supplementary: International Monetary Fund, 2007, “Do Market Risk Management Techniques Amplify Systemic Risks?” Chapter 2 in Global Financial Stability Report, April (Washington). Available via: http://www.imf.org/External/Pubs/FT/GFSR/2007/02/pdf/chap2.pdf | USB | |
L–12 | Presentation on the Practical Use of FMA Analytical Tools | |
No Required Readings |