Financial Engineering and Systemic Risk
Lecturer: Prof. Mishael Milakovic, PhD
This course deals with the risks that emanate from modern financial markets and their regulation. The central question is how these risks, their regulation, and the institutional framework itself can actually contribute to the creation of “systemic” risk, resulting in historically recurring economy-wide crises.
This course takes a closer look at the challenges that monetary policy faces in light of endogenous money creation, which are compounded by the presence of derivative securities that allow for the synthetic replication of traditional bank loans. We will consider whether or how banks’ off-balance sheet transactions can circumvent the national regulatory and taxation frameworks, and what the implications for the respective national central banks are in their function as so-called lenders of last resort. A second important aspect of this course deals with financial innovation in the syndication of loans or other debt obligations (ABS, MBS, CDO, CLO), and their role in the recent crisis.
More information on this course can be found in Univis and here: