Bachelor 2019/2020

Current Topics and Modern Financial Markets

Type: Elective course (HSE/NES Programme in Economics)

Area of studies: Economics

Delivered by: HSE/NES Undergraduate Programmes Curriculum Support

Where: Faculty of Economic Sciences

When: 3 year, 3, 4 module

Mode of studies: offline

Language: English

ECTS credits: 6

Contact hours: 64

Course Syllabus

Abstract

The overall purpose of the course is to engage students into the discussion of current issues and challenges that global financial markets are facing in the aftermath of financial crisis. The course will touch on numerous public policy issues, many of which are politically controversial and most of which are likely to continue to be important for years to come.

Learning Objectives

• A goal of the course is to provide students with a framework within which these public policy issues can be addresses in a useful manner. Students should be prepared to discuss and defend the ideas in their write-ups in class. For some questions, there is no “right” or “wrong” answer, in the sense that finance and economics professors themselves are likely to disagree about the answers to the questions. Students may talk to other students about the assigned questions, but each student should prepare a write-up individually, without looking at the write-ups of other students. Each student should list on the write-up the names of the other students with whom the student discussed the write-up.

Expected Learning Outcomes

• The students are engaged into the discussion of current issues and challenges that global financial markets are facing in the aftermath of financial crisis.
• The students are able to assess critically their personal and someone else's experience in the current economic situation.
• The students are able to interprete economic events taking place in the global financial market.

Course Contents

• Abacus Deal, Financial Crisis 2008‐2009
  • Abacus deal as an example of a structured product • Causes of financial crisis: Different views
• Derivatives ‐ Buffett vs AIG
  • Buffett’s business model • AIG business model • Buffett’s critique of Black‐Scholes model
• London Whale Case ‐ Regulations after Financial Crisis
  • Dodd‐Frank Act in the US, MiFID in Europe, Basel III • Bank regulations, banking industry sanation • London Whale case • Stress testing • Asset management industry as SIFIs and systemic risk
• Commodities Markets and Hedging
  • Current and future oil prices, how to interpret forward curves • Hedging: Metallgesellshaft hedging debacle • Price manipulations in commodities market • Cash settlement and fixings • Corners and squeezes: Silver crisis of 1981, VW squeeze in 2008 • Risk Management in Russia, barrier options
• Structuring of Retirement Systems
  • Pension Systems, main issues • Russian Pension System • Debt crisis in Europe and US
• Government Finance
  • State loans and guarantees • Public finance and option pricing
• Sovereign Wealth Funds and Review
  • Sovereign wealth funds • Lybia vs Goldman Sachs; DB mirror trades

Assessment Elements

• Case write‐ups
  Case write-ups should be succinct and self-contained. Long write-ups are not necessarily good writeups. Good business writing makes points in a manner that respects the reader’s time. Typically, the answers to questions will not be heavily mathematical, but mathematical intuition will often be required to address some of the questions. Write-ups should be uploaded onto mynes at the beginning of class, including the very first class. Students have to submit at least 5 out of 7 assignments. If students submit all 7 assignments, then the best 5 are counted towards their final grade.
• In‐class tests
• Class participation
  Class attendance and participation are required. Each class several related financial concepts or theories will be discussed; students should review what they learned about these topics in other courses.
• Final test
  A final 90-minute test is in-class and closed-book. One double-sided A4 cheat-sheet is allowed.

Interim Assessment

• Interim assessment (4 module)
  0.2 * Case write‐ups + 0.12 * Class participation + 0.5 * Final test + 0.18 * In‐class tests

Bibliography

Recommended Core Bibliography

• Elements of financial risk management, Christoffersen, P. F., 2012
• Hull, J. C. (2017). Options, Futures, and Other Derivatives, Global Edition. [Place of publication not identified]: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1538007
• Röman, J. R. M. (2017). Analytical Finance: Volume I : The Mathematics of Equity Derivatives, Markets, Risk and Valuation. Cham, Switzerland: Palgrave Macmillan. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1344244

Recommended Additional Bibliography

• Remington, T. F. (2019). Institutional Change in Authoritarian Regimes: Pension Reform in Russia and China. Problems of Post-Communism, 66(5), 301–314. https://doi.org/10.1080/10758216.2018.1450154