Financial Markets: Collateral, Repo and Credit Default Swaps

Key information

Start date: 11 September 2020

Attendance dates:

September 2020: 11, 12

Time commitment: 2 days

Venue:

Stag Hill campus, University of Surrey, Guildford, Surrey GU2 7XH

Contact details:

Overview

This course will look at:

  • Recourse and non-recourse loans, credit secured by durable goods, and the impact of collateral margins on the price of the collateral.
  • Short term loans backed by securities, over-the-counter versus centrally cleared repo markets, leverage and short-sales, and repo specialness.
  • The impact of repo margins on security prices, evidence from the European sovereign debt crisis, credit default swaps and the impact of their margins on security prices.
  • The cross-currency-basis and repo, deviations from covered interest rate parity and secured funding frictions, the basis and the unsecured-secured interest rate spread, evidence from the 2008 crisis, and central bank interventions.

Our courses featured in the Top Summer Schools in Economics 2019, in Inomics.

This course can also be taken as part of:

Course content

Conference

On the final day of the course, we will hold an optional conference. You are invited to submit a paper on some aspect of DSGE modelling. We will select five or six papers to be presented in full with discussants, while the remaining submissions will be given the opportunity to be presented during our poster session. The deadline for paper submission will be 20 July. Notification of acceptance to present a paper in full or in the poster session will be communicated by 3 August.

Course contributors

Mario Pascoa

See profile

Software

The practical sessions will take place in computer labs. We provide computers to all participants with Matlab and Dynare installed and set up. For those wishing to use their own computers outside the sessions, it should be noted that Dynare is free software, but Matlab requires a license to be purchased.

Entry requirements

Applicants must have:

  • A background in economics
  • A working knowledge of English
  • A knowledge of RBC and NK models.

Fees and funding

Price per person:

£450

Non-academic participants

£275

Academics

£200

Students

What these fees include

Lunch, refreshments, course notes and model software are included.

Additional costs

If you would like to stay on our campus throughout your course, we have a limited number of single bed en-suite rooms available. These are charged at £40 per night and include breakfast. If your application is successful, you will receive an email with instructions on how to book our accommodation.

Funding opportunities

The following concessions are available:

  • 10% discount for participants who have attended a previous course with the Centre for International Macroeconomic Studies.
  • 20% discount for participants from institutions in developing countries.

How to apply

Deadline for applications is 10 August 2020, but we encourage you to apply as soon as possible as the places will be allocated using a rolling selection process.

If your application is successful, you will receive an email offering you a place and you will have two weeks to pay the full fees balance to secure this.

Apply now

Terms and conditions

When you accept an offer of a place at the University of Surrey, you are agreeing to comply with our policies and regulations and our terms and conditions. You are also confirming you have read and understood the University's prospective student privacy notice.

Further details of our terms and conditions will follow.

Disclaimer

This online prospectus has been prepared and published in advance of the commencement of the course. The University of Surrey has used its reasonable efforts to ensure that the information is accurate at the time of publishing, but changes (for example to course content or additional costs) may occur given the interval between publishing and commencement of the course. It is therefore very important to check this website for any updates before you apply for a course with us. Read more.