Executive summary

Harvard referencing, 1.5 line spacing, british spellings

excel calculations (variance-covariance approach, historical simulation approach)

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use 4 years of historical data from yahoo finance

99% 10 dyasVaR under basel 2 and 2.5 only (same as the examples)

You must work out expected shortfall from historical simulation approach

No citation is needed except financial news related to the risks from financial websites (FT, yahoo finance, Bloomberg)

 

 

Part 1 – Executive summary (200 words)

 

1 – I am going to provide a Risk analysis report of BT group plc to my institutional investor.

2 – Market risk capital requirement under basel accords

3 – VaR measure, parametric and historical approaches (comparison, advantages and dis)

4 –  identify the risks (mainly credit, market, operational) systemic and systematic risk (real life situation issues and events)

5 – Risk reduction by hedging and worst-case scenario using expected shortfall

6 – critical analysis and evaluation as giving an accurate and appropriate information to the investor to make the correct decision

7 – recommendation to finalise the report

 

Part 2 – market risk capital charge (400 – 500 words)

 

1- what is market risk capital requirement under basel framework

2 – why the regulations are important for banks and financial institutions

3 – how this can affect borrowing companies and markets

4 – how it is measured by VaR and how to find VaR using parametic and historical approaches

  1. – set 4 years of historical data of BT plc and final amounts from excel calculations

6 – compare the results and also compare the approaches (pros and cons)

 

Part 3 – identify and discuss main risks only (400 – 500 words)

 

1- market risk (recent issues relevant to the markets and economy conditions)

2- credit risk

3- operational risk (recent issues relevant to the company)

(Must see the structure file slide 5)

 

Part 4 – risk reduction and worst-case scenario (300 words)

 

1- how the institution investor can reduce risk by hedging (derivatives contract)

2- worst-case scenario(loss) from historical approach calculation (expected shortfall)

 

 

Part 5 – conclusion (100 words)

 

Recommendations have to be made to fina

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