Center for Financial Frictions

Other past events

You can find some of the other events that FRIC has either organized or participated in here.

Other past FRIC events

Here you can find some of the other types of events that FRIC has participated in or organized, e.g. the Science in the City Festival and our FRIC PhD defenses.

 

 

 
PhD in Nordic Finance Workshop 2017
The Nordic Finance Network (NFN), Center for Financial Frictions and the Department of Finance at CBS organized the 11th PhD in Nordic Finance workshop on May 30-31, 2017 in Copenhagen.

Keynote speaker
This year's keynote speaker is Professor Ralph Koijen, NYU Stern School of Business. Non-registered participants are welcome to attend the keynote talk, which takes place Tuesday May 30 from 17.00-18.00 - see more about the public lecture with Ralph Koijen here.

Program
The program for the PhD Nordic Finance Workshop 2017 is available here.Please note that this is only for registered participants.

Further information about the workshop can be found on the website of NFN: http://nfn.aalto.fi/workshops.htm

FRIC PhD Defence: Davide Tomio

FRIC PhD student Davide Tomio defended his dissertation Essays on Arbitrage and Market Liquidity on May 11, 2017.

This dissertation consists of three essays aimed at understanding what drives market liquidity and the mispricing between securities connected by arbitrage. The first sets the stage by investigating how credit risk affects bond market liquidity. The second essays considers the market liquidity of an asset together with that of a second asset, to which the first is connected by an arbitrage relationship. The third essay considers how the liquidity spills over between two securities connected by arbitrage, focusing on the propagation of a liquidity shock and show how a large buying pressure exerted by an exceptional trader (a central bank) affects the pricing relation between two securities and how the illiquidity arising in one market is transferred to the other.

Primary Supervisor:
Professor Lasse Heje Pedersen
Department of Finance
Copenhagen Business School

Secondary Supervisor:
Professor Søren Hvidkjær
Department of Finance
Copenhagen Business School

Assessment Committee:
Associate Professor Ulf Nielsson
Department of Finance
Copenhagen Business School

Associate Professor Katya Malinova
Department of Economics
University of Toronto

Associate Professor Michael Halling
Department of Finance
Stockholm School of Economics

Thesis:
The thesis is available from http://openarchive.cbs.dk

PhD in Finance Information Meeting 2017

The Department of Finance and Center for Financial Frictions hosted an information meeting on March 7, 2017 about all aspects of pursuing a PhD in Finance – what it takes, how to succeed and what to do with the degree afterwards.
The program and the material from the meeting can be found here
FRIC PhD Defence: Mads Vestergaard Jensen

FRIC PhD student Mads Vestergaard Jensen defended his dissertation Financial Frictions - Implications for Early Option Exercise and Realized Volatility on Friday November 18, 2016 at 2 pm.

The first chapter (with Lasse Heje Pedersen) shows that the classic rule that one should never exercise a call option early breaks down when frictions are severe enough. The second chapter documents that underlying stocks underperform after early exercise, consistent with private information leading to early exercise. The final chapter (with Christian Skov Jensen) finds that, consistent with an increase in differences of opinion, a positive demand shift for shorting a stock predicts higher volatility for the affected stock.


Supervisor:
Professor Lasse Heje Pedersen
Department of Finance
Copenhagen Business School

Secondary Supervisor:
Associate Professor Jesper Lund
Department of Finance
Copenhagen Business School

Assessment Committee:
Professor Claus Munk (Chair)
Department of Finance
Copenhagen Business School

Professor Nicole Branger
Muenster School of Business and Economics
University of Muenster

Professor Bent Jesper Christensen
Institut for Økonomi
Aarhus Universitet

Thesis:
Find the thesis here: Financial Frictions - Implications for Early Option Exercise and Realized Volatility


 

FRIC PhD Defence: Mikael Reimer Jensen

FRIC PhD student Mikael Reimer Jensen defended his thesis Interbank Markets and Frictions on November 17, 2016 at 1 pm.

The thesis consists of three chapters. The first chapter examines how banks’ liquidity position shapes outcomes in the money market. The second chapter investigates the decomposition of interbank rates into credit and liquidity risk. Finally, the third chapter explores how the classical no-arbitrage pricing framework can be extended by assuming that the underlying asset can be used in a repo transaction.

Supervisor:
Professor David Lando
Department of Finance
Copenhagen Business School

Secondary Supervisor:
Associate Professor Jesper Lund
Department of Finance
Copenhagen Business School

Assessment Committee:
Associate Professor Jens Dick-Nielsen (Chair)
Department of Finance
Copenhagen Business School

Senior Economist Marie Hoerova
Financial Research
European Central Bank

Associate Professor Thomas Kokholm
Department of Economics
Aarhus University
 
Thesis: Interbank Markets and Frictions

PhD in Finance Information Meeting 2016
The Department of Finance and Center for Financial Frictions hosted an information meeting on April 25, 2016 about all aspects of pursuing a PhD in Finance – what it takes, how to succeed and what to do with the degree afterwards.
The program and the material from the meeting can be found here
PhD in Finance Information Meeting 2015
The Department of Finance and Center for Financial Frictions hosted an information meeting on December 10, 2015 about all aspects of pursuing a PhD in Finance – what it takes, how to succeed and what to do with the degree afterwards.
The program and the material from the meeting can be found here
 
Open Lecture and Book Signing: Efficiently Inefficient, Lasse Heje Pederse

Efficiently Inefficient - How Smart Money Invests and Market Prices Are Determined is a new book by Prof. Lasse Heje Pedersen.

Join us for an open lecture where Lasse Heje Pedersen tells about his meetings with investment gurus such as George Soros, John Paulson, and Ken Griffin, and how his research and experience developed into this new book. The book is being taught at Copenhagen Business School as well as global universities such as Harvard, UCLA, Berkeley, Wharton and NYU.

After the lecture, there will be the possibility to buy a copy of the new book at a special rate and get it signed by the author.

PROGRAM - October 2, 2015
in SPs07
15.30-16.00 Open Lecture
16.00-17.00 Book Signing
 
Inaugural lecture: adjunct professor Jesper Berg, Nykredit Bank

The Department of Finance is pleased to announce that managing director at Nykredit Bank Jesper Berg is appointed adjunct professor of finance at CBS.

The inaugural lecture took place on August 28, 2015 at 14.30-16.30, SpS05
The fall of Bagehot - An inductive approach to understanding monetary policy implementation

Abstract:
The lecture will to provide an introduction to monetary policy implementation and the challenges posed by the financial crisis. Monetary policy implementation is normally about setting a short term interest rate. This apparently simple task is complicated by additional objectives, e.g. in relation to the structure of the money market, as well as the necessity to decide on a number of parameters, such as collateral, timing, counterparties and quantitative restrictions on the supply of liquidity. The apparent attempt to both control quantities and prices (rates) is one of the more mind bugling aspects of monetary policy implementation. The financial crisis has demanded great flexibility in relation to the setting of parameters, and one of the consequences has been that the distinction between monetary policy lending and the lender of last resort role of central banks in the spirit of Bagehot has become blurred. Central banks have also moved beyond setting a short term rate as financial markets became disconnected.

See the slide here:PDF iconjesper_bergtiltraedelsesforelaesning.pdf
 
FRIC PhD defense: Mamdouh Medhat
FRIC PhD Mamdouh Medhat
defended his dissertation: Measuring and Pricing the Risk of Corporate Failures on May 27, 2015. Mamdouh Medhat accepted an offer from Cass Business School, City University London as Assistant Professor.

Measuring and Pricing the Risk of Corporate Failures
This PhD dissertation consists of three chapters. The first presents an additive regression framework that allows the estimation and analysis of time-varying effects on default probabilities. The second studies the validity of an assumption in the Basel accords stating that the default probabilities of smaller firms are less cyclical. The third argues that firms' cash holdings can help rationalize the low returns to distressed equity.
 
Supervisor
Professor David Lando
Department of Finance
Copenhagen Business School
 
Secondary supervisor
Professor Søren Feodor Nielsen
Department of Finance
Copenhagen Business School
 
Assessment Committee
Professor Lasse Heje Pedersen (Chair)
Department of Finance
Copenhagen Business School

Associate Professor Johan Hombert
Finance Department
HEC Paris

Economist Diana Bonfim
Economics and Research Department
Banco de Portugal

FRIC at the Science in the City Festival 2014
From June 22-26, 2014 FRIC participated in the Science in the City Festival in the Carlsberg City.
Here you were able to explore the FRIC Tapestry, FRIC Lounge and hear David Lando's talk on why regulation cannot curtail crises.

The FRIC Tapestry is a 20 meters long account (in Danish) of the financial crisis. The tapestry shows a timeline of the crisis and explains 6 key concepts that will help you understand the mechanics of a financial crisis. You can find the tapestry at www.cbsfrictapet.dk and learn more about the evolution of the crisis from the beginning and until today.

The FRIC Lounge focused on the key concepts of a financial crisis. Here you could find posters on 4 subjects and listen to 4 videos (in Danish) where David Lando talks about frictions, American call options, liquidity and more. Find the PDF iconFRIC posters here and the videos here.

On Saturday, June 21, 2014, Center leader David Lando gave a talk on why regulation cannot curtail crises. In his talk, David Lando shed light on how the financial world have always sought to steer clear of regulation in creative ways, and how the seemingly best solution for one crisis became the foundation for the next. Download David Lando's slides here: David Lando_Regulering

If you would like to see more pictures from the Festival, please take a look here: FRIC at the Science in the City Festival.

Nov. 21-22, 2013: Young Scholars Nordic Finance Workshop

The Nordic Finance Network (NFN), Center for Financial Frictions and the Department of Finance at CBS organized the second Finance workshop for young scholars from Nordic universities on November 21-22, 2013 in Copenhagen.
See the program here: Young Scholars Nordic Finance Workshop
Aug. 13, 2012: FRIC Mini Symposia

Invited speakers:
Annette Vissing-Jørgensen, Northwestern University (Visiting UC Berkeley)
Adair Morse, University of Chicago (Visiting UC Berkeley)
Susan Christoffersen, University of Toronto
Peter Christoffersen, University of Toronto
David Lando, CBS
Lasse Heje Pedersen, CBS


See the program here: Program Mini Symposium

 

The page was last edited by: Center for Financial Frictions // 06/20/2017

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Center for Financial Frictions (FRIC)
Copenhagen Business School
Solbjerg Plads 3
2000 Frederiksberg
Email: fric@cbs.dk