Cen­ter for Big Data in Fin­ance (BIG­FI)

BIGFI is a Center of Excellence funded by the Danish National Research Foundation. Launched January 1, 2023; six-year grant with a possible four-year extension. 

BIGFI regularly announces opportunities for students and PhD candidates: 

• PhD Scholarships: Each year BIGFI invites applications for PhD scholarships with a special focus on big data in finance. Calls are published early in the year with a deadline at the end of February.
• Research Student Assistants: BIGFI also employs student assistants to support its research activities. These positions are intended for students with strong analytical skills and an interest in finance and data. There are currently no vacant positions.

Center for Big Data in Finance (BIGFI) 

Department of Finance 
Copenhagen Business School 
Solbjerg Plads 3 
Building A, 4th floor 
2000 Frederiksberg

Center Coordinator: Ida Listh (il.fi@cbs.dk)

BIGFI is most easily accessed via the elevator by the CBS book store.

Find us. 

On May 11, 2026, BIGFI welcomed Nobel Laureate Richard H. Thaler (The University of Chicago Booth School of Business) for an open event on behavioral economics, decision-making, and human behavior. The event brought together students, researchers, professionals, and members of the public to engage with one of the founding figures of behavioral economics.

The program featured a fireside chat moderated by Niels Joachim Gormsen (DNRF Chair Professor of Finance, BIGFI and CBS). Drawing on insights from his latest book The Winner’s Curse (written with Alex Imas), Thaler reflected on how the behavioral “anomalies” identified in his early research continue to shape the understanding of economic decision-making today.

The discussion covered topics including nudging, incentives, behavioral biases, and the practical implications of behavioral economics. Thaler also shared advice for students pursuing academic careers, emphasizing the importance of curiosity, creativity, and exploring research areas that remain underdeveloped.

The event concluded with questions from the audience and provided a unique opportunity for the CBS community to engage directly with one of the most influential economists of the past decades.

On November 20, 2025, AQR and BIGFI hosted Big Data in Asset Management 2025, a full-day conference exploring the impact of big data and artificial intelligence on modern asset management. The programme brought together leading academics, policymakers, and industry practitioners to discuss machine learning in investment, asset pricing, regulatory developments, and allocator perspectives.

Speakers included BIGFI Center Director Lasse Heje Pedersen, Svetlana Bryzgalova (London Business School), Bryan Kelly (Yale School of Management and AQR), Ben Knox (Federal Reserve Board), Marina Niessner (Indiana University – Kelley School of Business), Jesper Berg (Copenhagen Business School), William Dunning (Simmons & Simmons), Owen Lamont (Acadian Asset Management), John Liew (AQR), Roberto Giuffrida (AQR), Kari Vatanen (Elo Mutual Pension Insurance Company), Ingrid Albinsson (AP2 Board), Michael Flycht (PKA), Antti Ilmanen (AQR), Tobias Moskowitz (Yale School of Management and AQR), and Daniel Whitehouse (AQR).

The conference concluded with a reception, providing participants with an opportunity to continue discussions and strengthen connections across academia and industry.

On May 12, 2025, BIGFI and FinanceLab co-hosted an event on Quantitative Finance at Copenhagen Business School. The event brought together academia and industry to explore how rigorous financial research translates into real-world practice.

The programme featured a talk by BIGFI Center Director Lasse Heje Pedersen, who shared insights on his career, the development of BIGFI, and the interaction between academia and practice in quantitative finance. Oliver Hellum, BIGFI PhD student, presented his research and spoke about his motivation for choosing BIGFI as a research environment. Henrik Nygaard Jensen (Danske Bank Asset Management) discussed his career path and addressed a relevant topic within quantitative finance from an industry perspective. The event also featured an engaging Q&A session, fostering dialogue between students, researchers, and practitioners.

On May 21, 2025, BIGFI and Capital Four hosted CBS Capital Four Credit Day 2025, bringing together leading academics and industry practitioners for a full day of discussions on developments in corporate credit markets. The programme explored timely topics including credit covenants, sudden stop risk, macro credit arbitrage, securitisation reform, and the convergence of credit, insurance, and private capital markets.

The event opened with welcome remarks from BIGFI Center Director Lasse Heje Pedersen and Sandro Näf (CEO, Co-Founder and Portfolio Manager, Capital Four). Academic presentations were delivered by Boris Vallée (Harvard Business School), Daniel Streitz (University of Jena; Halle Institute for Economic Research), and David Lando (BIGFI and CBS). Industry perspectives were shared by Søren Willemann (Barclays), William Perraudin (Risk Control Limited), and Henrik Matsen (Henry Costa Partners).

The afternoon featured panel discussions on the convergence of private capital markets and insurers with Fahim Rashid (Rothesay), Robert ter Weijden (Athora Netherlands), and Joe Cantwell (26North), moderated by Sandro Näf, as well as a session on navigating alternative credits with Keith Brakebill (Russell Investments), Mads Skaaning Jensen (PKA), Florian Kramer (Allianz Investment Management), and Per Svensson (AP4), moderated by Torben Skødeberg. The programme also included an interview with Lars Rohde, former Governor of Danmarks Nationalbank, conducted by Sandro Näf, and concluded with reflections by David Lando and Sandro Näf.

The event provided a forum for dialogue between research and practice, highlighting current challenges and opportunities in global credit markets.

On 7–9 May 2025, BIGFI co-hosted the CEPR European Workshop on Household Finance 2025 in Copenhagen, bringing together leading researchers, policymakers, and practitioners to discuss new research in household finance. The workshop was held at the Central Bank of Denmark and the Carlsberg Venue and featured presentations, panel discussions, and policy dialogue across three days.

The conference opened with a Research, Policy and Practice session on impact investing and the role of pension funds and sovereign wealth funds, featuring welcome remarks by Michael Haliassos (Goethe University Frankfurt and CEPR) and an introductory address by Steffen Andersen (Nationalbanken, CEPR and BIGFI). The panel, moderated by Mette von Sicard (Nationalbanken), included Ulrik Nødgaard (Nationalbanken), Kasper Ahrndt Lorenzen (PFA Pension), Adair Morse (UC Berkeley), and Lasse Heje Pedersen (CBS and BIGFI).

Across the academic sessions, research was presented by Camilla Skovbo Christensen (London School of Economics), Oksana Smirnova (London Business School), Jan Mazza (European University Institute), Miguel Oliveira (Nova School of Business and Economics), Paymon Khorrami (Duke University), Juhana Siljander (Imperial College London), Akash Raja (CBS), Purnoor Tak (London Business School), Raymond Kluender (Harvard Business School), Sheisha Kulkarni (University of Virginia), Ciaran Rogers (HEC Paris), and Clara Martinez-Toledano (Imperial College London), with discussions led by distinguished scholars from leading European and international institutions.

The workshop concluded with closing remarks following sessions on trading behavior, consumer constraints, and capital markets. Local organisers were Steffen Andersen (Nationalbanken, CEPR and BIGFI) and Julie Marx (CBS and BIGFI). The event provided a forum for cutting-edge research and dialogue at the intersection of household finance, policy, and financial markets.

On March 24, 2025, BIGFI and CBS hosted How Should Europe Finance Its Future?, a discussion with Maria Luís Albuquerque, EU Commissioner for Financial Services and the Savings and Investments Union. The event brought together around 100 CBS students to engage in a timely conversation about Europe’s investment needs and long-term financial strategy.

In her presentation, Commissioner Albuquerque addressed how Europe can finance the green and digital transitions, strengthen defence capabilities, and enhance competitiveness. The discussion explored potential funding channels, including EU-wide debt, the mobilisation of pension funds, and increased private savings across Member States.

The session was followed by a moderated discussion led by BIGFI Center Director Lasse Heje Pedersen and Jesper Rangvid (CBS), covering topics such as Europe’s competitiveness relative to the US and China, the development of a single European capital market, pension and savings reforms, and regulatory simplification. The event concluded with an informal reception, providing an opportunity for continued dialogue between students and speakers.

On January 28, 2025, BIGFI and CBS Executive Education hosted Trends in Household Finance – From ESG to Finfluencers, exploring how sustainable investing and social media are reshaping household financial decision-making.

Fatima Zahra Filali Adib (BIGFI and CBS) presented research showing that ESG investing is often perceived as a “luxury good,” with wealth and personal experiences influencing households’ portfolio choices. Yingjie Qi (BIGFI and CBS) shared insights on the growing impact of financial influencers on retail investors, demonstrating how social networks shape trading behaviour and market outcomes. Andreas Østerheden (Nykredit Asset Management) contributed an industry perspective on ESG investing and portfolio management.

The event highlighted how sustainability trends and digital influence are transforming household finance and investment behaviour.

On November 14, 2024, BIGFI hosted the BIGFI Conference on Central Banking at CBS, bringing together leading researchers to discuss data-driven insights on central banking, finance, and monetary policy.

The conference featured keynote lectures by Annette Vissing-Jørgensen (BIGFI and Federal Reserve Board), who presented Balance Sheet Policy Above the Effective Lower Bound, and John H. Cochrane (Stanford University), who delivered a keynote on inflation. The programme included presentations by Sebastian Infante (Federal Reserve Board), Andrew Y. Chen (Federal Reserve Board), Tobias Berg (Goethe University Frankfurt), Emanuel Mönch (Frankfurt School of Finance & Economics), and Niels Joachim Gormsen (University of Chicago Booth School of Business), with discussions led by distinguished scholars from leading international institutions.

Across the day, participants examined topics such as central bank reserves, cross-sectional return predictability, quantitative easing and housing markets, global bond yields, and firms’ perceived cost of capital. The conference concluded with a reception, providing an opportunity for continued academic exchange and dialogue.

On May 16, 2024, BIGFI and Capital Four hosted the third CBS Capital Four Credit Day 2024 at Copenhagen Business School, bringing together leading academics and industry professionals to discuss developments in corporate bond markets and credit investing.

The event opened with welcome remarks by Jens Dick-Nielsen (BIGFI and CBS) and Sandro Näf (Capital Four). Academic presentations were delivered by Lasse Heje Pedersen (BIGFI and CBS), Amit Goyal (University of Lausanne), Giorgio Ottonello (Nova School of Business and Economics), and Simon Mayer (Carnegie Mellon University), covering topics including corporate bond factors, return predictability, implementable bond portfolios, and non-bank lending. Antti Ilmanen (AQR Capital Management) shared insights on investing in a low expected return environment.

The programme also featured industry panels on portfolio challenges and alternative portfolio solutions with Erik Bennike (PensionDanmark), Erika Tikka (Keva), Sven Johannsen (HAPEV), Tim Cable (Vantage Infrastructure), Vincent Kravec (Commonfund), Henrik Olejasz Larsen (Sampension), and Kasper Ahrndt Lorenzen (PFA), moderated by Jesper Rangvid (CBS) and Torben Skødeberg (Capital Four).

The afternoon included a presentation by Oskar Harmsen (McKinsey & Company and QuantumBlack) on artificial intelligence as a new frontier in finance, followed by an interview with Allan Polack, conducted by Sandro Näf. The conference concluded with reflections by Lasse Heje Pedersen and Sandro Näf, providing a forum for dialogue between research and practice in global credit markets.

On September 26, 2023, BIGFI co-organised and co-funded the 4th Nordic Fintech Research Symposium 2023, marking the beginning of Nordic Fintech Week. The symposium was supported by Copenhagen Fintech as part of the Danish Ministry of Higher Education and Science’s National Position of Strength programme for Finans & Fintech, with the aim of strengthening knowledge sharing and collaboration between academia and industry.

The programme focused on the application of AI and machine learning in finance, including portfolio optimisation, sustainable investing, AI-powered trading, and quantum computing. Academic presentations were delivered by Semyon Malamud (EPFL), Lasse Heje Pedersen (BIGFI and CBS), Yan Ji (HKUST), Jing Huang (Texas A&M), Martin Elsman (University of Copenhagen), Jacob Sherson (Aarhus University and University of Copenhagen), and Allan Grønlund (Kvantify).

The symposium also featured a panel debate on Harnessing the Power of Big Data in Financial Markets, moderated by Bent Dalager (KPMG Global Quantum Hub), with panelists Allan Grønlund (Kvantify), Michael Kastoryano (IT University of Copenhagen), and Brian Huge (Saxo Bank).

The event was welcomed on behalf of the organisers by Thomas Krogh Jensen (CEO, Copenhagen Fintech) and Lasse Heje Pedersen (Professor and Center Director, BIGFI). The symposium provided a platform for cutting-edge research, dialogue, and new collaborations at the intersection of fintech, data science, and financial markets.

On June 9–10, 2023, BIGFI and collaborators hosted Advances in Financial Econometrics, a conference in honor of Torben G. Andersen, bringing together leading scholars in financial econometrics for two days of research presentations and discussion.

The conference opened with remarks by Peter Reinhard Hansen (University of North Carolina), Rasmus Varneskov (BIGFI and CBS), and Lasse Heje Pedersen (BIGFI and CBS). The programme featured presentations by prominent researchers including Tim Bollerslev (Duke University), Nicola Fusari (Johns Hopkins), Oliver Linton (University of Cambridge), Maria Gonzalez-Perez (Bank of Spain), Oleg Bondarenko (University of Illinois Chicago), Allan Timmermann (UC San Diego), Ying-Ying Li (HKUST), Andy Neuhierl (Washington University in St. Louis), Robert Korajczyk (Kellogg), Dacheng Xiu (University of Chicago), Neil Shephard (Harvard University), Andrew Patton (Duke University), Viktor Todorov (Kellogg), Nour Meddahi (Toulouse School of Economics), Steve Heston (University of Maryland), Dobrislav Dobrev (Federal Reserve Board), Luca Benzoni (Federal Reserve Bank of Chicago), Marcelo Fernandes (Sao Paulo School of Economics), Federico Bandi (Johns Hopkins), Robert Engle (NYU Stern), Nikolaus Hautsch (University of Vienna), and Francis Diebold (University of Pennsylvania).

Across the sessions, participants examined cutting-edge topics including volatility measurement, jump risk, high-frequency econometrics, asset pricing, macro-financial linkages, and robust inference in time series models. The conference concluded with closing remarks by Peter Reinhard Hansen and Rasmus Varneskov, celebrating Torben G. Andersen’s profound contributions to the field of financial econometrics.

On May 11, 2023, BIGFI and Capital Four hosted CBS Capital Four Credit Day 2023 at CBS, bringing together academics and industry professionals to discuss developments in credit markets and investment strategies.

The programme opened with welcome remarks by Sandro Näf (Capital Four). Academic presentations were delivered by Anders B. Trolle (BIGFI and CBS), Greg Nini (Drexel University), Sergey Chernenko (Purdue University), Ralf Meisenzahl (Federal Reserve Bank of Chicago), and Martin Schmalz (University of Oxford), covering topics such as credit index derivatives, loan market dynamics, corporate bond liquidity, nonbank lending, and direct lending in European and US markets. Industry perspectives were provided by Clement B. Kjersgaard and Timo Kairi (Bain & Company).

The afternoon featured breakout sessions on distressed debt, CLOs, ESG integration, and the use of structured data in the investment process. Panel participants included Christopher Foley (Houlihan Lokey), Karen McMaster (Milbank LLP), Michael Beierholm (Capital Four), David Altenhofen (PensionDanmark), Sandeep Chana (S&P Global Ratings), Jim Wiant (Capital Four), Flemming Dose (Capital Four), Jan Ståhlberg (Trill Impact), Louise A. Jensen (PKA), Mads M. Borup (Capital Four), Graham Kellen (B-Flexion), Timothy Smith (Capital Four), and Ami Dogra (Capital Four), moderated by Capital Four partners including René Kallestrup, Torben Skødeberg, and Mikkel Sckerl.

The event concluded with an interview of Jan Ståhlberg conducted by Sandro Näf, followed by summary remarks from Torben Skødeberg and closing remarks by Sandro Näf, providing a forum for dialogue between research and practice in global credit markets.

On March 2, 2023, BIGFI hosted its Opening Event at Copenhagen Business School, marking the official launch of the Center for Big Data in Finance. The event introduced the centre’s vision of advancing finance research through the use of large-scale data, data science, and computational methods.

The programme opened with remarks by Søren-Peter Olesen (CEO, Danish National Research Foundation), followed by a presentation of BIGFI by Lasse Heje Pedersen (Center Director, BIGFI and CBS). Kim Peijnenburg (EDHEC Business School and BIGFI) presented her research on forecast bias and household equity trading, and the keynote lecture was delivered by Tobias J. Moskowitz (Yale School of Management) on the opportunities and challenges of big data research in investments.

The event concluded with closing remarks by Nikolaj Malchow-Møller (President, CBS) and Lasse Heje Pedersen, followed by a reception. The opening event set the stage for BIGFI’s global research agenda at the intersection of finance, big data, and advanced analytics.

On February 25, 2025, Peter Feldhütter participated in the podcast 'Rig på viden' (Rich in knowledge).

Professor Peter Feldhütter taler om obligationer udstedt af banker, og hvorfor de giver et højere afkast end andre virksomhedsobligationer.

Lyt til podcast episoden her. 

On July 22, 2025, David Lando participated in the podcast Rig på viden (Rich in knowledge).

Professor David Lando explains why banks’ equity risk has not decreased after the financial crisis despite higher capitalization, how deregulation in the US in 2018 changed banks’ risk profile, and what this means for regulators. He also discusses what investors and supervisors should take away from these results.

Listen to the podcast episode here (in Danish only).

On July 1, 2024, Lasse Heje Pedersen participated in the podcast VoxTalks Economics.

If we’re going to get to net zero in time, economists argue that carbon taxation alone is the best policy. But less than a quarter of emissions are subject to any carbon pricing. And even then, the price of carbon is far too low. So how much climate finance will it take to fill that gap to get us to a socially optimal solution? Lasse Heje Pedersen talks to Alissa and Tim about how he estimates the rate of exchange between the cost of capital and a carbon tax, and what that implies for policy.

Listen to the podcast episode here.

On June 18, 2024, Jens Dick-Nielsen participated in the podcast Rig på viden (Rich in knowledge).

Professor Jens Dick-Nielsen presents his latest research on whether there is a replication crisis in corporate bonds. Using a new method, he finds that 80% of the factor studies he examined cannot be replicated.

Listen to the podcast episode here (in Danish only) 

On March 2, 2024, Lasse Heje Pedersen participated in the podcast 'Videnskab fra vilde hjerner' (Science from wild minds).

In this episode, Professor Lasse Heje Pedersen from CBS talks about green and sustainable investments. He discusses whether such investments can pay off and which factors beyond returns should be considered. Drawing on theories and data analysis, he explores how green investments affect the economy and society. He also shares insights from his research in finance, where he uses mathematical models and empirical data to understand stock and bond prices and their impact on the real world.

Listen to the podcast episode here (in Danish only).

On January 23, 2024, Steffen Andersen participated in the podcast Rig på viden (Rich in knowledge).

This special edition was produced in collaboration with Videnskab.dk, where CBS Professor Steffen Andersen talks about behavioural economics.

Listen to the podcast episode here (in Danish only).

On December 10, 2024, Peter Feldhütter participated in the podcast Rig på viden (Rich in knowledge).

In this episode, Professor Peter Feldhütter talks about his latest research on Sustainability Linked Bonds.

Listen to the podcast episode here (in Danish only).

Listen to Anders Trolle discuss his article, "How Integrated Are Credit and Equity Markets? Evidence from Index Options," published in the Journal of Finance.

The paper, coauthored with Pierre Collin-Dufresne (EPFL, Switzerland) and Benjamin Junge (Capital Fund Management, France), investigates the complex dynamics underlying financial markets, shedding new light on the interplay between credit and equity market factors and their impact on investment outcomes. With meticulous analysis and cutting-edge methodologies, the study contributes to our understanding of financial market behavior and provides valuable insights for both academia and industry professionals.

Click here to watch the video. 

Listen to Peter Feldhütter discuss his article, "Debt Dynamics and Credit Risk" published in Journal of Financial Economics.

The paper, coauthored with Stephen Schaefer, explores the intricate relationship between corporate debt policy and the pricing of corporate bonds. In the paper, Feldhütter and Schaefer empirically demonstrate that firms with low equity returns take on more debt in the short run and less debt in the long run compared to firms with high equity returns and integrate this novel insight into structural models of credit risk. They incorporate these debt dynamics into both standard diffusion models and advanced models with stochastic volatility and jumps, leading to more accurate predictions of credit spreads, particularly for short-maturity investment grade bonds. Their research contributes to a comprehensive understanding of corporate capital structure dynamics, challenging the conventional assumption of constant debt in structural models of credit risk.

Click here to watch the video. 

Listen to Theis Ingerslev Jensen discuss his article, "Is There a Replication Crisis in Finance?" published in Journal of Finance.

The paper, coauthored with Bryan T. Kelly and Lasse Heje Pedersen, develop and estimate a Bayesian model of factor replication, which leads to different conclusions. The majority of asset pricing factors: (1) can be replicated, (2) can be clustered into 13 themes, the majority of which are significant parts of the tangency portfolio, (3) work out-of-sample in a new large data set covering 93 countries, and (4) have evidence that is strengthened (not weakened) by the large number of observed factors.

Click here to watch the video.

Listen to Lasse Heje Pedersen as he introduces the Center for Big Data in Finance and explains how the center aims to use large-scale data to gain deeper insights into financial markets.

By analyzing both individual-level data from Statistics Denmark and global market data, the center seeks to enhance understanding of how financial markets operate and support the green transition in a smart and effective way. With exclusive access to unique Danish datasets, the center holds a distinct advantage over many other research institutions worldwide.

Click here to watch the video.

Listen to Theis Ingerslev Jensen shares insights from his PhD research and its significance in the field.

He reflects on how the Center for Big Data in Finance (BIGFI) played a role in shaping his career, both in terms of research development and securing his current position at Yale. Theis Ingerslev Jensen highlights the academic environment, the people, and the research infrastructure as key factors in his professional growth. He also offers valuable advice to current and aspiring PhD students on making the most of their PhD journey, staying motivated, and navigating challenges.

Click here to watch the video. 

Faculty

Lasse Heje Pedersen

Find more information about the course here. 

Faculty

Lasse Heje Pedersen and Christian Stolborg

Prerequisites

The course is designed as a first-year Ph.D. course. The prerequisites are knowledge of asset pricing theory and econometrics at a M.Sc. level and an ability to work independently with data using a programmatic computer language such as Matlab, R, or Python. Students must participate in the whole course and do all problem sets.

Aim

The aim of the class is to introduce Ph.D. students in finance and related fields to empirical asset pricing research methods using big data.

Find more information about the course here.

Faculty

Markus Ibert

Learning objectives

• Identify, explain, discuss, and apply the core concepts, models, and methods
• Calculate, interpret, and compare financial statistics, prices, returns, and costs
• Elaborate, present, and discuss solutions for financial decision problems

Find more information about the course here.

Faculty

Peter Feldhütter

Learning objectives

• Understand and explain the payoff and risk properties of the main types of derivative securities
• Understand and explain how derivative securities can be used for risk management
• Understand, explain, and apply the central methods and models for the pricing of derivative securities

Find more information about the course here.

Faculty

Peter Feldhütter

Prerequisites

This is a mandatory course for the MSc in Advanced Economics and Finance. It is assumed that students have knowledge similar to the entry requirements for the MSc in Advanced Economics and Finance. For spring courses knowledge similar to the content of the 1st-semester courses is assumed as well. The courses have 45 contact hours (lectures and exercises), and there is a high level of interaction between lecturer and students, and in general a high work load. 

To sign up send a 1-page motivational letter, a 1-page CV, and a grade transcript to ily.stu@cbs.dk before the registration deadline for elective courses. You may find the registration deadlines on my.cbs.dk ( https:/​/​studentcbs.sharepoint.com/​graduate/​pages/​registration-for-electives.aspx ). 

Learning objectives

• Be able to analyze, price, and discuss the use of derivative securities
• Be able to analyze, discuss, and apply the concept of no-arbitrage and its limitations
• Be able to analyze, discuss, and apply interest rate risk and credit risk modelling concepts
• Be able to apply and analyze Value-at-Risk based risk measures
• Be able to analyze and discuss financial risk management in financial institutions

Find more information about the course here.

Faculty

Peter Feldhütter

Prerequisites

Knowledge of asset pricing, corporate finance and econometrics at a M.Sc. level is expected. Otherwise, the course is designed as a first PhD course in empirical finance.
The course is open for other participants with an adequate background

Aim

This course is a course on fixed income at the PhD level. The course attempts to lay the groundwork for students who will later do actual empirical research work in fixed income. It is therefore a hands on course where the students will have to perform analysis on actual data, and where the examples are chosen to illustrate the typical questions asked in finance research. The focus is on classic estimation methods, but the course will also, where relevant, outline recent developments.

Find more information about the course here.

Faculty

Rasmus Tangsgaard Varneskov

Learning objectives

The course will provide students with an understanding of how carry out econometric analysis within different subfields of finance. In particular, the students will obtain a toolbox consisting of knowledge of modern models, methods, and econometrics that are required for analyzing financial data

Prerequisites

Baseline knowledge of statistics, econometrics and asset pricing. Experience with coding is an advantage.

Find more information about the course here.

Faculty

David Lando

Learning objectives

The course introduces students to financial intermediation with a main focus on banking:

• Explain the assets, liabilities and key sources of risk of some main types of financial intermediaries, including banks, investment banks, pension funds, mortgage institutions, and insurance companies
• Explain the key roles performed by banks in an economy including the role in the domestic and international payment system, maturity transformation, screening and monitoring of borrowers, and in the implementation of monetary policy
• Explain and discuss the composition and riskiness of bank assets for a representative bank
• Explain different short-term and long-term funding sources of banks, including deposits, interbank loans, repos, commercial paper, medium term notes, covered bonds, contingent capital, equity, funding in foreign currency, FX swaps
• Understand a simplified version of the Diamond-Dybvig model
• Use a structural (Merton) model of credit risk to value debt and equity and use the model flexibly to analyze deposit insurance, risk taking incentives, etc.
• Explain the concept and importance of off-balance sheet commitments .Explain and discuss shadow banking
• Explain the rationale behind banking regulation and discuss whether higher capital requirements affect bank lending. Explain and discuss key concepts in financial regulation such as risk weighted assets, capital ratios, the leverage ratio, net stable funding ratio, liquidity coverage ratios
• Understand and apply the single factor portfolio credit risk model
• Explain securitization and apply the single factor model to pricing of tranches with different priority in asset securitizations. Understand and apply the mixed binomial model.
• Discuss cost of capital for banks and capital allocation within banks.
• Understand the tools of monetary policy applied by central banks and how they operate through the banking system. Discuss payment systems and settlement,Introduce the market for Eurodollars..

Find more information about the course here.

Faculty

Jens Dick-Nielsen

Find more information about the course here.

Faculty

Arna Olafsson

Learning Objectives

After having successfully participated in the course students ought to:

• Understand the core questions and results in household finance research.
• Understand the role of expectations in household finance and some key inputs in expectation formation.
• Know the evolution of household finance as field and what drove the rise of the field.
• Understand the role of behavioral biases in the financial choices of individuals and households.
• Know typical data sources used in household finance research.
• Know some of the stylized facts in household finance.
• Know the key puzzles in household finance.
• Understand what may drive the large gender gap in financial choices observed worldwide.
• Understand the role of intra-household financial decision making on the financial choices of household.
• Understand how financial technology may influence the financial choices of households and understand both the potential benefits and drawbacks for the financial wellbeing of households.
• Be able to identify compelling research questions in household finance and empirical approaches to address these.
• Be able to develop a high-quality research proposal suitable for thesis work.

Find more information about the course here.