Economics 870
Instructor: Frank Milne
Office: Mackintosh-Corry A517
Phone: 613-533-6494
Office Hours: as described on office door.
Testimonial
Teaching Assistant: Pier-André Bouchard St-Amant (pabsta at econ)
Office: DUN 332
Phone: (613) 533-0000 ext.75540
Office Hours: Tuesdays 14:30 - 16:00 or by email.
Tutorials: Tuesdays 10:00 - 11:30 in the conference room (DUN, second floor).
- The first tutorial was held on Sept. 28th, in MC A416. You can find here the material covered. Partial solutions can be found here and here.
- The second tutorial was held on tuesday, Oct. 4th, 10:00, in the conference room. These exercises have been covered.
- The third tutorial was held on Oct. 11th. We covered exercises from chapter five and six.
- The fourth tutorial was held on Oct. 18th. We covered these exercises, except the proof for theorem 3.1.
- There has been a short fifth tutorial on Oct. 25th. We covered the proof for theorem 3.1 (last of these exercises).
- There has been a tutorial on Nov 15th. We covered some of the exercises in the fifth practice sheet.
- There has been a tutorial on Nov 22th covering the remaining exercices in the fifth practice sheet.
- There will be a tutorial on Nov 29th covering the sixth practice sheet.
Exams:
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Hints for Final exam.
- The Midterm will be held in class on november 10th. Here are some hints about it.
Documents available for downloading:
- "Future of Finance" Chapter 5
- "Future of Finance" Chapter 21
- "Why Banks Failed The Stress Test" by Andrew G Haldane
- "Financial Sector Pro-Cyclicality"
- "The Role of Capital in Financial Institutions" in the FINANCIAL TIMES, by Anat R. Admati etc.
- "Much More Bank Equity Is Needed and Is Not Socially Costly" by Allen N. Berger etc.
- "The Efficient Markets Hypothesis: The Demise of the Demon of Chance?" by Stephen J. Brown1
- Merton Miller on banking and the MM theorem
- Independent Commission on Banking, Sep. 24, 2010
- "High Frequency Trading: A Canadian Perspective"
- "High Frequency Trading and Its Impact on Market Quality" by Jonathan A. Brogaard
- The rise and rise of correlation
- Useful Newspapers & Blogs (2011)
- "Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Expensive"
- "Bank Capital Regulation: Business as Usual?"
- "Systemic Risk in the Financial Sector"
- Speech: "Paul Tucker Deputy Governor, Financial Stability, Bank of England"
- Speech: "Bank on the State"
- Akerlof & Romer Looting
- Bird & Fortune - Subprime Crisis (Youtube video)
- C.D. Howe Institute Commentary Anatomy of the Credit Crisis: The Role of Faulty Risk Management Systems
- Convergence from Discrete-to-Continuous Time Contingent Claims Prices
- AssetPricing with Liquidity Risk
- There Are No Rogue Traders, There Are Only Rogue Banks
- Clamping Down on Rapid Trades in Stock Market
- Limits of Arbitrage: the State of the Theory
- Control rights (and wrongs)
- Selling More CDS on Europe Debt Raises Risk for U.S. Banks
- In the Matter of Lehman Brothers – Part 1: Breaking Up is Hard To Do
- Wall Street Unoccupied With 200,000 Job Cuts
- Secret Fed Loans Gave Banks $13 Billion
- Quelle Surprise! Banks Lied About Bailout Funds and Got $13 Billion in Profit from Them
Links:
