Course Book

Financial Benchmarks and Price Transparency in Over-the-Counter Markets

FIN-613

Course Book

Lecturer(s) :

Duffie Darrell

Language:

English

Frequency

Only this year

Remark

For registration, please contact claude.zwicky@epfl.ch.

Summary

This course addresses the role and design of financial benchmarks. Prime examples include reference interest rates such as LIBOR, foreign-exchange benchmarks such as WM/Reuters, and various commodity benchmarks. Price transparency in OTC markets will receive extra emphasis in this course.

Content

Prime examples include reference interest rates such as LIBOR, foreign-exchange benchmarks such as WM/Reuters, and various commodity benchmarks. Benchmarks allow contracting on future prices, increase the ability of principal investors to monitor the quality of execution by their agents, and increase market transparency, particularly in over-the-counter markets where opaqueness of prices may otherwise limit competition among dealers.  The last function, price transparency in OTC markets will receive extra emphasis. The course will also consider who has the incentive to introduce and maintain accurate benchmarks, given their public-good nature, and the appropriate role of benchmark regulation. Methodologies for benchmark fixing will be considered that trade off robustness to manipulation with statistical accuracy.

Learning Prerequisites

Important concepts to start the course

Microeconomics, asset pricing, statistics and measure-theoretic probability theory.

Learning Outcomes

By the end of the course, the student must be able to:

• Conduct original academic research both empirical or theoretical.
• Identify fruitful directions for new research, including some specific open problems.

Assessment methods

Multiple.

Resources

Websites

• http://www.darrellduffie.com/