The purpose of this module is to provide you with an introduction to

1. multiple regression techniques using Ordinary Least Squares (OLS) estimation and
2. the principal microeconometric techniques used for analysing cross-sectional and panel data,

with emphasis placed on those techniques that are instrumental in the rigorous analysis of banking data.

This module will initially introduce core concepts in finance, such as the time value of money, net present value analysis, and alternative investment rules to assess investment decisions taken by firms. We then move on to the introduction of basic concepts related to financial markets, including definitions of key assets and market types, as well as an understanding of the economics of financial markets with a focus on their functions, participants and organisational forms.

This module will then provide a good understanding of fundamental theories and techniques in finance that are of concern to all financial market participants, such as bond markets and the term structure of interest rates, the economics of derivatives markets, forward and future contracts, and swap agreements. The module will place a particular emphasis on understanding how quantitative methods and techniques are used in financial markets.

This module studies the practical operation of banking institutions. The aim is a thorough understanding of the financial environment in which we all live, including the banks’ role in the payments system and in transmitting monetary and fiscal policy. These matters are of particular relevance today given the current problems of poor economic growth, higher inflation, interest rates and government debt following the Covid pandemic and the invasion of Ukraine.

The course starts with an analysis of banks' behaviour and their balance sheets, including capital structure, lending decisions and attitudes to risk, as guided by the central bank’s choice of official interest rates and ‘quantitative easing’. This is followed by a discussion of the origins and nature of the financial crisis of 2008 and the significant developments in banking regulation that have resulted.

The final part studies banking and monetary policy in the international context, including the balance of payments and exchange rates. It focuses particularly on problems in the Eurozone and the operation of the Eurosystem of central banks.

Throughout this module, the treatment will generally be non-technical and based on observing institutional practices and their implications.

The course introduces state-of-the-art methods used in current macroeconomic research to understand short-run business cycles, inflation dynamics, and economic stabilisation policies.

We will develop a broad and deep knowledge of modern Dynamic Stochastic General Equilibrium (DSGE) macroeconomic models that employ microeconomic foundations and rational expectations. These models will be solved using advanced analytical and numerical-computational approaches. More specifically, we will use the DSGE neoclassical Real Business Cycle and New Keynesian frameworks to understand the different sources of aggregate economic fluctuations and examine fiscal and monetary policy's positive and normative roles.

Finally, the course examines contemporary issues such as government debt financing through distortionary taxation, optimal (un)conventional monetary and fiscal policies in a zero-interest rate-liquidity trap environment, and financial frictions.

The module aims to provide you with the hands-on time-series skills to competently estimate, test, and interpret market-risk forecasting and control models and techniques required in the current regulatory environment: Value-at-Risk, Expected Shortfall, backtesting, extreme-value distributions, and copula models.

This module introduces you to the aspects of microeconomics on which the modern understanding of financial markets, asset-price determination, and financial intermediation is based.

This module builds on the fundamental question about the role of financial intermediaries (i.e., banks) in the economy, and it unfolds by analysing the economic theory behind the deposit-collecting and loan-making function of depositary institutions. This module aims to equip you with a solid understanding of banking from theoretical, empirical, and regulatory perspectives. This module assumes that students comprehend the foundations of corporate finance, monetary policy, and applied econometrics.

This module responds to the banking and finance student’s need for specialised professional skills development in three areas: professional conduct and ethics in banking according to the Chartered Bankers Institute syllabus; career planning and job market skills for banking and finance; and financial data platforms.

This module introduces the key concepts in banking regulation and supervision to enable you to understand the effects of changes in regulation and supervision for banks, business activities and, ultimately, the real economy. It draws extensively on publications by central banks and regulators. This module aims to equip you with the skills to comprehend and analyse sources of instabilities in the financial system and evaluate their effect on other agents in the financial system.

This module builds on and extends the concepts covered in the core Foundations of Financial Markets module in the first term. The major topics covered include capital budgeting, capital structure, corporate valuation, corporate restructuring, mergers and acquisitions, dividend policies, and the application of real options in corporate finance.

In lectures, we will use cases based on real companies to demonstrate the links between the various areas of corporate finance. A key objective of the module is to help you explore how firms' financing and investment policies interact with each other and how decisions impact corporate valuation.

This module contributes to the following CFA syllabus areas:

• Corporate Finance (CFA levels I and II)

The aim of this module is to equip you with the tools necessary to enable you to make the core investment management decisions that managers face daily, as well as the knowledge as to where you can find the information necessary to apply those tools.

This course covers fundamental concepts and key issues in factor investing;

• equilibrium theories of asset pricing
• mutual funds, ETFs and hedge funds
• Environmental, Social and Governance
• textual analysis in empirical asset pricing

This module looks at what can happen to asset pricing in situations where market imperfections coincide with imperfections in investor rationality. It, therefore, explores the boundary between mispricing which can be exploited and that which cannot be exploited profitably.

The module lays the foundations for arbitrage, investment and wealth management, investment banking, and corporate finance. The material covered is at the frontier of academic and industry research, forming a conceptually advanced body of knowledge (CFA level III) which is of relevance for theory, research and practice.

Topics covered include:

• The efficient markets hypothesis and competing theories
• Limits to arbitrage
• Heuristics, biases and prospect theory: mental accounts and evidence in market prices
• Myopic loss aversion, disposition effect and overtrading
• Professional investors and analysts: over- and under-reaction
• Bubbles: observational and experimental, rational and non-rational
• Closed-end fund discounts, co-movement and sentiment
• The equity premium puzzle and the volatility puzzle
• Herding
• Behavioural portfolio theory

Turbulent decades of economic crises and increased volatilities across all asset classes have brought about innovative and strategic derivatives solutions to manage financial risk and create value. Their failure has typically been due to a lack of understanding of how to use and price derivatives. Understanding derivatives’ dynamics, risks, valuations and uses has become more important than ever.

Although there are many derivatives structures, the key to understanding derivatives is that all financial products, no matter how complex, are portfolios of just two fundamental building blocks: a swap (forward) and an option. This module provides this understanding in a rigorous, consistent and coherent framework.

This module equips you with the latest skills in data science, financial econometrics and quantitative finance to analyse and model asset price dynamics using techniques at the research frontier in these areas, including the work with high-frequency data, relevant for the job market (especially in Quants) and the MSc dissertation streams.

It will teach you important features of financial time series, key modelling approaches in the field, how to use high-frequency data to construct the latest volatility estimators and the most appropriate methods for forecasting price volatility and risk. It will also give you practical experience of analysing market prices, constructing volatility estimators and designing forecasting analyses through empirical projects implemented with MatLab.

The financial markets and the world of investment management have undergone significant change since the global financial crisis. Investment managers need to keep abreast of these developments and take advantage of such changes. This module introduces the key changes in market conditions, including high-frequency trading, dark pools and the move to bring off-exchange instruments such as credit derivatives on exchange. Within the world of investment management, we look at developments in liability-driven investment, alternative investments and new approaches to diversification.

The key aims of this module are to:

• Provide an understanding of today’s financial markets, trading processes and decision-making (also on a high-frequency level)
• Introduce the concepts and advanced portfolio analysis.
• Offer insight into the subtleties of investment decisions and dealing with clients
• Provide you with the necessary quantitative skills for further advanced studies in this area.

This module is designed to develop your understanding of the principles governing the valuation of fixed-income securities and their derivatives. It examines the main problems and selected issues relevant to the management of interest rate risk and the organisations and structure of debt markets. Topics covered include debt securities and markets, the measurement of interest rate risk, and embedded options and interest rate derivatives.

This module contributes to the following CFA syllabus areas:

• Debt Investments (CFA levels I, II and III)

The purpose of this module is to give you a solid grounding in the quantitative empirical research skills that are necessary for producing high-quality research, both in the academic as well as in the applied context, in the areas of empirical asset pricing and portfolio allocation.