Financial Markets: Collateral, Repo and Credit Default Swaps
Attendance dates:September 2021: 14
Time commitment: 1 day
- Centre for International Macroeconomic Studies
Given the spread of Covid-19 and the difficulty in air travel we have decided to deliver the Centre for International Macroeconomic Studies summer school in an online format. This decision has been made to ensure the safety of our participants, our colleagues, and all those involved. The summer school in 2020 was also held online, it was very successful and enabled many participants to attend from all over the world without the need to travel.
The course will be conducted using the Zoom platform. The University and the lecturers have extensive experience with online teaching and have state-of-the-art systems to do so as well as being able to deliver highly interactive lectures. Though we will do our best to record all the sessions, we are expecting participants to attend them live to enable them to interact with lectures and ask questions.
This course can also be taken as part of:
The lectures will take place via Zoom, and participants will need to have installed Matlab in their computers for some of the practical sessions (download a 30-day free trial), as well as Dynare.
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.
On Wednesday 15 September we will hold an optional one-day conference.
All participants on the courses are invited to submit a paper on some aspect of macroeconomics or DSGE modelling to be presented in the conference.
Learning and teaching methods
You will be sent computer codes, lecture notes, and slides ahead of the course and will also receive direct assistance before the summer school starts in order to set up all the systems ahead of the online events.
There will be opportunities to discuss your projects and research ideas. This will occur both informally during the virtual coffee breaks and virtual dinners, as well as formally during the conference. After the summer school, lecturers will be available to answer questions and discuss your projects.
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:
What these fees include
The price includes the optional conference.
For students attending stand-alone courses only, we are offering 25% off the cost of the second course.
How to apply
Deadline for applications is 24 August 2021, 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.
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.
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.