Please be strict with the word count.

The assignment itself is not large as usual, but requires the answer very straight to the point, with appropriate materials and proper critical analysis, so please, if you fill that you not fully able to meet these criteria don’t waste your time and my time just to gain the money! Thank you for understanding!

Please note: in Part B: Market Risk – the sentence highlighted in green colour was already completed by me. You don’t have to worry about it, I will add it myself, and please take this into consideration when you are calculating your price!

Please, use the links with useful materials I have provided bellow, those links were advised by my mentor and are very important.

Module Title: Banking Risk 1
Word Limit: 2700 words

Instructions on Assessment:

Students must answer both parts to meet the module learning outcomes. Please note, NO appendix is allowed.

Part A: Credit Risk and Counterparty Credit Risk

You are required to critically discuss the Bank of International Settlements (BIS)’s most preferred credit risk measurement approach recommended for Internationally Active Banks. Also, evaluate why implementing Credit Valuation Adjustment (CVA) has been a challenge for Systematically Important Financial Institutions (SIFI). (1,500 words)

With other words, the Part A requires:

  1. You should focus your discussion on the most preferred approach which is the IRB approach.
  2. You have to discuss why implementing the CVA has been a challenge for SIFIs. You can give an overview of CVA. I want to see a through discussion particularly on the challenges

Part B: Market Risk

Appling real-world data from a specific industry perform Value at Risk (VaR) analysis, present your results and analyse your findings. Further, you are required to provide a critical overview of the Fundamental Review of the Trading Book (FRTB) and evaluate how this new regulation affects market risk management within the financial services industry.  (1,200 words)

With other words Part B requires:

  1. You should focus your discussion on by performing the VAR analysis (VCV,HS and MCS) on a sample of at least five asset class (real world) within the same industry. Compare and discuss your results. – I have already complete the green colour part myself – ignore it!!!
  2. The FRTB is a new regulation covering market risk and you are required to provide a critical review of implementing it.

General advice:

Use examples/figures/table/formulas to support your discussions.

Attached herewith are few articles/papers which will help you to better present your work. However, you are encouraged to research more to present a better understanding.

Useful links with proper materials and information to fulfil the tasks:

Assessment Criteria (NBS)

General Assessment Criteria

Trait 0 – 29 30 – 39 40 – 49 50 – 59 60 – 69 70 – 79 80 – 100
Knowledge and Understanding Unable to grasp concepts, or to present facts in a relevant way. Some elements of knowledge apparent but question/s inadequately addressed. Basic knowledge-and understanding of subject shown. Work is relevant, however, confusion shown at times. The knowledge base is judged sound and relevant. Thorough knowledge and understanding demonstrated. Exceptional comprehension of knowledge demonstrated.
Structure and Alignment Often inarticulate and can be incomprehensible. Poor structure.  Content often irrelevant. Work can lack focus, and is prone to unsubstantiated assertion or logic. Over reliance on description rather than analysis.  Perhaps some evidence of unstructured argument or illogical reasoning. Material is well presented and organised.  Occasionally, conclusions are reached on the basis of insufficient information. Fluent and focused.  Shows ability to contextualise knowledge and sustain a relevant argument or logical reasoning. Sophisticated skill shown in formation of relevant argument or analytical reasoning.

 

Module Specific Marking Criteria

  0 – 29% 30 – 39% 40 – 49% 50 – 59% 60 – 69% 70 – 79% 80 – 89% 90 – 100%
 

Part A on Credit Risk and Counterparty Credit Risk

Maximum Mark = 40

 

 

 

Very weak, particularly background research into the credit risk measurement approach.  Very little attempt to present an understanding of CVA and its challenges. Insufficient research into the credit risk measurement approach. Little attempt to present an understanding of CVA and its challenges. Reasonable understanding of the credit risk measurement approach as recommended by BIS.  Although some understanding of CVA and its challenges is presented, the work lack focus.

 

Good levels of understanding of the credit risk measurement approach as recommended by BIS.  Good levels of understanding of CVA and its challenges, however there are evidence of unstructured arguments. Very Good levels of understanding of the credit risk measurement approach as per BIS for SIFI presented. Also, the discussion on the CVA challenges is well presented.

 

Excellent research on the credit risk measurement approach as per BIS for SIFI presented. Also, the discussion on the CVA challenges is critically presented. Outstanding research on the credit risk measurement approach as per BIS for SIFI presented. Also the discussion on the CVA challenges is critically presented. Exemplary, sophisticated and highly detailed research on the credit risk measurement approach as per BIS for SIFI presented. Also the discussion on the CVA challenges is critically presented.
 

Part B on Market Risk

Maximum Mark = 40

 

 

 

 

 

 

 

 

 

Very weak, particularly background research into the VaR analysis and with little attempt to provide an example. Insufficient research into the VaR analysis. The use of real world asset class is incorrect or incomplete. FRTB discussion is very minimal. Reasonable understanding of the VaR analysis with an attempt to illustrate real world numerical examples. Some overview on the FRTB.

 

 

Good levels of understanding of the VaR analysis by using real world asset class. Good discussion on the FRTB with some assessment of how this new regulation would challenge market risk management. Very Good levels of understanding of the VaR analysis by using real world asset class. Very Good discussion on the FRTB with some assessment of how this new regulation would challenge market risk management.

 

 

Excellent understanding of the VaR analysis by using real world asset class. Excellent critical discussion on the FRTB with detailed assessment of how this new regulation would challenge market risk management.

 

Outstanding research of the VaR analysis by using real world asset class. Outstanding critical discussion on the FRTB with detailed assessment of how this new regulation would challenge market risk management. Exemplary, sophisticated and highly detailed research of the VaR analysis by using real world asset class. Exemplary critical discussion on the FRTB with detailed and meaningful assessment of how this new regulation would challenge market risk management.