PhD Summer School in Finance

PhD Summer School in Finance


PhD Summer School in Finance - August 22 - September 06, 2019

The PhD Summer School in Finance provides an exclusive opportunity to PhD students to both explore the student city Trondheim and gain expertise and unique learning outcomes from following fields: empirical finance, empirical banking, complexity and behaviour, real estate finance and financial regulation.

The PhD Workshop - September 2, 2019.

In addition, The PhD workshop is going to be held September 2, 2019. The workshop is planned to be an informal gathering and arena that allows course attendees to present their papers and get feedback from senior scholars. The participants in the summer school are responsible for their own travel and overnight expenses. There is no registration fee for the workshop participants.

We encourage participants to attend the entire summer school programme.

However, it is allowed to apply for single courses only.


For registration

Please register by sending an email to the contact person Randi Leikvold

Applcation deadline: May 28, 2019.



Time Schedule
Invited professors Period of course              Course title Credits points

Florentina Paraschiv

Professor of Financial Economics

NTNU Business School

22rd - 23rd August

10-12 and

14-16 (each day)


Quantitative Aspects of Financial Regulation 3 ECTS

Steven Ongena

Professor of Banking

University of Zuerich

26rd - 28rd August
09-12 (each day)

29rd August


Empirical Banking –
Methods and Applications
Cars Hommes
Professor of Quantitative Economics
University of Amsterdam

26rd - 28rd August
14-17 (each day)

29rd August


Complexity & Behaviour 3 ECTS

PhD  Wokshop   2 September    All day event with lunch break

Paul Söderlind
Professor of Finance
University of St. Gallen

03rd - 06rd September 
09 - 12 (each day)


Empirical Finance 3 ECTS
Roland Füss
Professor of Real Estate Finance

03rd - 06rd September
14 - 17 (each day)


Real Estate Finance 3 ECTS




Complexity & Behaviour 

Empirical Banking Methods and Applications 

Empirical Finance 

Real Estate Finance 

Quantitative Aspects of Financial Regulation 

Complexity & Behaviour (3 ECTS)
Cars Hommes, Professor of Quantitative Economics
University of Amsterdam

Short course description: 
The leading paradigm in economics and finance assumes that all economic agents (households, firms, investors) are perfectly rational in making their decisions. This leads to the standard representative rational agent model. In this course, we view the economy as a complex system with interacting boundedly rational heterogeneous agents. A central question is: which emerging aggregate behavior arises through the interactions of individual decisions of boundedly rational heterogeneous agents at the micro level? Topics include: 

Course content:
• Introduction to complex dynamics, chaos and bifurcations
• Animal spirits and boom and bust cycles
• Expectations and adaptive learning 
• Agent-based models
• Heterogeneous agents models
• Experimental macro & finance
• Behavioural macro & finance

Literature: C.H. Hommes, Behavioural rationality and heterogeneous expectations in complex economic systems, Cambridge University Press 2013, 250 pages.

Exam: Term paper

Empirical Banking Methods and Applications(3 ECTS) 
Steven Ongena, Professor of Banking, 
University of Zürich

The objective of this course is to read and understand scientific papers in empirical banking. To accomplish this objective, emphasis is placed on illustrating basic research methodologies used in empirical banking and learning the application of these methodologies to selected topics. The research methods that are specifically discussed in the class are cross-sectional research methods and the inter-temporal event study methodology. The topics that are covered include (but are not limited to) applications of Discrete Choice, Multinomial Logit, Duration, Simultaneous Equations and Event Study Methodology, and as an area of particular interest the Geography of Banking. It is evident that any empirical research should be based on theoretical foundations. All students are therefore expected to have an active interest in banking theory. Opportunities are offered during the course to explore selected theoretical models upon which empirical applications are based.
Course content:
1. Introduction and Policy Evaluation
2. Heteroskedastic Modelling
3. Duration Analysis and Applications
4. Matching and Difference in Difference and Applications
5. Event Studies and Applications
6. Within Estimation and an Application to Islamic Banking
Literature: Degryse, H., M. Kim, and S. Ongena, 2009, Microeconometrics of Banking (Oxford University Press). textbook
Exam: Term paper (group works)

Empirical Finance (3 ECTS) 
Paul Söderlind, Professor of Finance, 
University of St. Gallen

The course assumes prior knowledge of econometrics and finance at the Masterʹs level.
Course content:
Predicting asset returns
Factor model
Consumption‑based asset pricing
Yield curve models
GARCH models
Panel data
Cochrane (2005, revised ed.), Asset Pricing, chapter 10‑15 and 20‑21
Additional reading announced in class
Exam: Term paper (group works)

Real Estate Finance (3 ECTS) 
Roland Füss, Professor of Real Estate Finance, 
University of St. Gallen

Course prerequisites:
Students should be interested in real estate finance and investments and are expected to demonstrate a command of micro- and macroeconomic theory, econometrics and statistics, as well as finance at the Master’s level.
Course Content:
This course introduces students to the theoretical foundations and modern research methodologies in real estate finance. Students gain fundamental insights into the research that has developed over more than a decade on current issues in residential and commercial real estate such as macroeconomic fundamentals of real estate markets, property valuation, mortgage securitization, and asset pricing. There will be tutorials in R to provide practical experience.
Topics and literature
Real Estate and the Macroeconomy
Literature: Case, K.E. (2000): Real Estate and the Macroeconomy, Brookings Paper on Economic Activity 2: 119-162.
Structure and Pricing of Mortgages
Literature: Cocco, J. (2013): Evidence on the Benefits of Alternative Mortgage Products, Journal of Finance, 68: 1663–1690.
Geltner, D., N.G. Miller, J. Clayton, and P. Eichholtz (2007): Commercial Real Estate Analysis and Investments, 2nd ed., Mason, OH: South-Western Publishing/Thomson Learning, Chapter 20.
Hedonic Valuation and Spatial Regression Models
Literature: Geltner, D., N.G. Miller, J. Clayton, and P. Eichholtz (2007): Commercial Real Estate Analysis and Investments, 2nd ed.,Mason, OH: South-Western Publishing/ Thomson Learning, Chapters 9 and 25, Appendix 12A.
LeSage, J.P., and R.K. Pace (2008): Introduction to Spatial Econometrics, Chapman and Hall/CRC, Chapter 1 to 3.
Real Estate Asset Pricing
Literature: Piazzesi, M., M. Schneider, S. Tuzel (2007): Housing, Consumption, and Asset Pricing, Journal of Financial Economics 83, 531-569.
Piazzesi, M., and M. Schneider (2016): Housing and Macroeconomics, In: Handbook of Macroeconomics edited by John Taylor and Harald Uhlig, July.
Exam: Term paper

Quantitative Aspects of Financial Regulation (3 ECTS) 
Florentina Paraschiv, Professor of Financial Economics NTNU Business School

Short course description: 
In the post crisis period, topics like interest rate risk, liquidity risk or credit risk particularly attracted the attention of financial regulators. The Basel Committee highlighted weaknesses in the organizational aspects of stress testing programs and practices prior to the start of the crisis. Finding rigorous risk measures for the trading book is a key actual issue in the financial institutions. Therefore, it is of major importance, in our days, to get a deep understanding of the risk management and measurement methodologies as well as an overview of the current regulatory framework.

Course content:
The objective of this course is to offer a comprehensive view of the financial regulations regarding the interest risk and liquidity risk management, credit risk and operational risk issues, as well as on the regulators' requirements on stress testing procedures. After understanding the regulatory framework, students have the opportunity to learn about risk measurement techniques proposed by the academic literature, or widely used in the industry. Case studies will help students to come closer to the implementation of notable stress testing techniques like stressed VaR, time-varying volatility in VaR or extreme value theory applications.
Literature: About 150 pages from Basel II, Basel III, Basel III(b) which will be provided at the class. 5 working papers on financial regulation which will be provided at the class.

Exam: Term paper.


Trondheim Business School

Trondheim Business School

The Summer School will be held at campus Elgeseter. The rust-colored landmark building of Trondheim Business School is located on one of the main routes leading into the city center. The campus is fully equipped with state of the art classrooms, groop rooms, cafeteria and library. 



Norwegian Finance Initiative