i want to understand1

Assessment Brief

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: 10th January 2023

Word Limit: 3,000 words

Weighting This assignment accounts for 80% of the total mark for this

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.


A. Market Risk

In this section of your report, you are required to explain your understanding of VaR techniques
and their application to banking risk management.

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 at least five real-world assets, and the length of your sample period should be no
longer than five years and must end before 31st December 2022.

Please note that your answer should not just be an illustration of the methods, you should aim
to provide interpretations and comparisons capturing your data and the latest published

(1,200 words, 40 Marks)

B. Credit Risk

You are required to analyse a portfolio of loans consisting of companies of your choice with
characteristics shown in the table below. For example, if you choose company 1 to be
Microsoft, it will have a maturity of 10 years, a repayment value of 20 million and an annual
interest rate of 7%. All computations must be carried out according to such characteristics.

Loan Company Name Maturity Repayment Value at
Maturity $m


1 Company 1 10 20 7%

2 Company 2 5 15 3%

In your report, you should clearly state the composition of your portfolio (i.e., fill in the table
above with the names of

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