Finance

This class sets the foundations for later applications of analytical methods. This includes linear algebra, calculus, optimization, and probabilistic inference. Frankfurt School also offers a preparatory maths class in the summer, for those aiming to brush up before entering this course.

A graduate-level micro-economics course. It begins with consumer decision making and general equilibrium, followed by game theory. Also covered are bi-forms, i.e. the combination of the two game theoretic solution concepts as applied by incomplete contract theory.

The class provides key knowledge on how different econometric models work and most importantly sheds light on their limitations. The course also provides step by step application of new tools to different data sets in the computer lab. You will be asked to replicate, and in some cases improve, prior empirical studies.

This course covers extensions to standard regression techniques and offers alternatives. Bayesian statistics, prediction and validation, simulation models, and machine-learning techniques are among the key topics.

Course Description

The course is an in-depth introduction to the modern theory of asset pricing and portfolio choice. Its main focus is on the relationship between arbitrage and equilibrium, and how both conditions imply the existence of "state prices," positive discount factors such that the price of any security is simply its discounted expected payoff. The first part of the course examines static economies while the second extends into a multi-period framework. Both parts are restricted to discrete time and symmetric and complete information.

Prerequisites

The student is assumed to have a good working knowledge of probability, statistics, calculus and microeconomics.

Course Structure

• Arbitrage and pricing
• Equilibrium and pricing
• Optimal portfolio choice
• Mean-Variance analysis
• Asset pricing models

Course content coming soon.

Course Description

The course makes students familiar with the main hidden information and hidden action models. It introduces a concise theoretical principle agent framework that allows analyzing the major topics in corporate finance including among others firms’ debt capacity and the optimal capital structure, corporate risk and liquidity management, and corporate control and governance.

Prerequisites

There are no prerequisites necessary.

Course Structure

This course is split in two parts. The first introduces the baseline models. The second part provides a more in depth application of the baseline model to a variety of different problems in corporate finance.

Course Description

The course aims to familiarize students with the basic concepts of game theory.

Students learn different classes of games and a variety of solution concepts to predict strategic behavior in these games.

They will learn how to capture practically relevant situations in a game and the necessary tools to solve these games.

Prerequisites

Students should have completed a PhD class in Microeconomics.

Course Structure

The course combines theoretical developments of game theoretic concepts with applications of these concepts to questions in economics, finance, and management. The course starts with simple games and shows the solution concepts for these games. It then gradually enriches the games and the respective solution concepts. For each class of games, several examples will be provided how to apply the material learned in the course, always with an eye on how students can apply these concepts in their own research

Course Description

This module introduces PhD candidates to the latest models that try to explain the role of banks in the economy. Based on those approaches this course presents latest theoretical contributions on modelling the origin of financial contagion and the role of regulation in mitigating systemic risk. Furthermore this course also presents the most recent models on competition in the banking sector and its implications for stability. The overarching aim of this course it to provide students not only with the thorough theoretical background required to pursue empirical studies. It should also enable students develop their own theoretical models in this area.

Prerequisites

Corporate Finance

Course Structure

The module is structured as follows:

• The role of financial intermediaries in the economy
• The inherent fragility of banks
• The origins of financial contagion
• Banking competition and financial stability
• Optimal capital structure and the need for banking regulation

Course Description

• Fixed effects regression
• Difference-in-differences estimators
• Regression discontinuity design
• Synthetic control estimator
• Instrumental variable regressions
• Governance of the research process

Prerequisites

Econometrics I and II

Course Structure

The course is structured in three parts (not necessarily chronological):

• Part 1: Empirical methodologies (focus on regression discontinuity, difference-in-difference estimators, synthetic control estimators)
• Part 2: Discussion of recent empirical papers with a focus on financial intermediation, corporate finance, and possibly with a link to accounting
• Part 3: Development of own research ideas

You will have a budget for two additional course suitable for your chosen area of specialisation. These can be offered by Frankfurt School but often are found at other research universities. Faculty and the program office help you identify appropriate courses.

• CV and list of publications (if existent)
• Certified copy of your University Entrance Qualification (Abitur, A-levels or equivalent)
• Certified copy of your University Degree Certificate or equivalent and academic transcript of records
• Official GMAT or GRE results
• Proof of English Language Proficiency Test (TOEFL IBT min. score of 100/IELTS min. score of 7.0)
• Two letters of recommendation from a former academic tutor or from another person in an academic environment.
• Statement of purpose and research interest (description of a possible research project, 2-5 pages, demonstrating how the candidate plans to apply his/her particular interests, skills and expertise to the pursuit of his/her academic objectives)