Where to Access the Feedback: Module Blackboard Site Feedback Me
Where to Access the Feedback: Module Blackboard Site
Feedback Method: Mixture of Formative and Summative Assessment Feedback. Students receive comments on their ability to link theory into practice in terms of applying risk management techniques and evaluating financial risks in specific situations.
The assignment is a report requested by the senior management at WBS Bank. As WBS Bank’s risk analyst, you have been asked to prepare a report on the bank’s ability to meet the requirements of the Basel III Framework, which will be submitted to the bank’s Chief Risk Officer. The aim of the report is to continue monitoring WBS Bank’s business, internal and external risks to see whether it is able to meet the Basel III requirements since WBS Bank has the obligation to notify regulators and identify solutions should there be insufficient reserves. You should also, where appropriate, use numerical techniques to quantify the risks and costs.
1. The cover page should contain a title, the total word count and an Executive Summary describing your key findings. (5 marks)
2. You are given the latest trading book of WBS Bank (in the Excel Data file for the Final Report). In the list of items, two stocks were added to the portfolio just now and they are currently the most liquid items in the trading book of the Bank. You are required to quantify the implication of the purchase on reserve requirements and the trading costs incurred. Comment on the implication of the new purchase under current liquidity risk requirement. (20 marks)
3. Provide a critical discussion on duration gap management when used as interest risk management tool in banks. Comment on its effectiveness and implication on leverage requirement. (20 marks)
4. WBS Bank’s regulators require that the bank use multiple risk factors for the upcoming stress testing. Critically discuss the concept of the Expected Shortfall and the differences between the Expected Shortfall and Value at Risk (VaR) measures. Comment on the weaknesses of each of them. (20 marks)
5. Provide a critical discussion of relevant academic articles on the effectiveness of the Basel III framework. Cover at least 3 academic articles on the topic (at least 1 of which should be from within the last three years). (30 marks)
6. List of references is required. You should provide the details of any the material that was cited in the report. Citation in text and reference list should follow Westminster Harvard Referencing Style (details can be found at: https://www.westminster.ac.uk/current-students/studies/study-skills-and-training/research-skills/referencing-your-work ).
Format of Final Report:
1. An electronic copy of your assignment should be submitted via the module blackboard site (anonymous marking, do not put your name).
2. All data and calculations where necessary should be put in Appendix of your Final Report.
3. You must include module title on the first page (Cover Page) of your report. The report is 2500 words (±10%) excluding the title page, table of contents, appendices and references, with size 12 font and 1.5 line spacing for the main text.
4. List of References should follow the Westminster Harvard Referencing Style.
The assignment must go through ‘Turnitin’ and submitted electronically before 13:00 on Monday 10th January 2022.
The rules on late submission and plagiarism are applied and fully enforced by the school.
Submission of Final Report
Unless explicitly stated otherwise in writing by the module leader, all assessment on this module is submitted via Blackboard only. It will automatically be scanned through a text matching system (designed to check for possible plagiarism).
• DO NOT attach a CA1 form or any other form of cover sheet;