Instructions on Assessment This assignment accounts for 80% of the overall mark for the module. You must attempt all the parts to meet the learning outcomes. • Length maximum of 3000 words (with a tolerance level of 10%) which must be stated at the cover page of the assignment. • Quotations of more than 2 lines must be indented and in italics with the reference and page number stated. Shorter quotations should be in italics but do not need to be indented. • Tables and diagrams should be inserted at an appropriate point in the text and should be easily readable. • All the results, their interpretation and discussion should be provided in a single MS Word document. Programme: BA (Hons) Finance and Investment Management BA (Hons) International Banking and Finance (Top-up) BA (Hons) Business and Finance (Top-up) Module Code: AF6003 and LD6008 Module Title: Banking Risk 1 Submission Time and Date: 12th January 2022 Word Limit: 3,000 words Weighting This assignment accounts for 80% of the total mark for this module Submission of Assessment Electronic Management of Assessment (EMA): Please note that your assignment is submitted electronically online via Turnitin by the given deadline. You will find a Turnitin link on the module’s ELP site. It is your responsibility to ensure that your assignment arrives before the submission deadline stated above. See the University policy on late submission of work. 2 A. Market Risk You recently read the paper by Sollis (2009) where the author provides introductory overview of Value at Risk (VaR) and its weaknesses. This encouraged you to understand more about VaR techniques and on their application. You have therefore decided to study more on VaR and apply related techniques to compute the risk exposure faced by a portfolio of real-world financial securities. In this section of your report, you are therefore required to critically discuss market risk measurement using Value at Risk techniques and discuss the new developments, displaying your awareness of the methods and limitations by presenting clearly how you derived your results. Your portfolio should consist of a minimum of five real-world companies and the length of your sample period should be no longer than five years and must end as of 30th November 2021. Please note your answer should not just be an illustration of the methods but you should aim to provide interpretations and comparisons capturing your data and latest published research. (1,500 words, 50 Marks) *Sollis, R. (2009). Value at risk: a critical overview. Journal of Financial Regulation and Compliance. B. Credit Risk Analyse a portfolio of loans consisting of 3 companies of your choice with characteristics shown in table below. For example, if you choose company 1 to be Tesla, it will have a maturity of 5 years, repayment value of 12 million and annual interest rate of 6%. All computations must be carried out according to such characteristics. Loan Company Name Maturity Repayment Value at Maturity $m Annual Interest 1 Company 1 5 12 6% 2 Company 2 4 10 7% 3 Company 3 3 8 5% In your report, you should clearly state the composition of your portfolio (i.e., fill in the table above with the names of three real-world companies). Assume that all three loans are senior unsecured debt denominated in US dollars and that the analysis is conducted on 30th November 2021. The loan will be repaid at maturity date. Clearly state any assumptions you make in your estimations. Using CreditMetrics (full implementation) and KMV, you are required to compute relative VaR and Expected Shortfall with MonteCarlo simulation for the portfolio above at time horizons of 1-year and 2-year periods and confidence interval of 99%. Interpret, compare, and discuss your results critically. Do a reality check on all the above calculations. Are your results according to your expectations? Why or why not? (1,500 words, 50 Marks) 3 Mapping to Prog
Module code – AF 6003 Module Title – Banking Risk 1 Table of Contents International Banking regulation. 3 Market Risk. 4 Variance Co-Variance method. 4 Historical Method. 6 Monte Carlo Simulation method. 7 Foreign exchange risk. 9 Credit risk. 10 Acquisition of transition matrices. 10 Calculation of expected value of loans. 11 Monte Carlo Simulation of returns and VAR computations. 11 Critique on CreditMatrices. 12 References. 13 International Banking regulation The introduction of BASEL III (Tarbert, 2011)in the banking reg
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