### Bank Capital Regulations (MS 2018)

**19249441**

**msims2019**

**assignment 1**

metallgesseschaft case study:The assignment must have at least 2000 words. Marks will be assigned on the basis of strong arguments and fulfillment of other criteria such as timely submission, avoidance of plagiarism, and originality of your answers. The following four question are be answered.

Q1. Was the marketing strategy of the company successful?

Q2. Was the Stack-and-Roll strategy of the company good enough? What other hedging options the company could have used?

Q3. The board of directors' decision to terminate the long-term forward contracts with customers' was a good or a bad decision? What would you suggest?

Q4. Can derivative contracts be blamed for the losses of the company? Should government restrict the use of derivative contracts? Justify your answer?

**ASSIG**

**NMENT 2****HED**

**GING WITH FUTURES:**

This assignment has two parts:

**PART I (4 marks)**

Due date = Sep 21, 2015 [MBA 2015]

Note: The assignment has to be submitted to dropbox using the theese links.

**MSc Finance Submit Hedge Ratio Asg. Here**

**MBA 2015 - Submit Hedge Ratio Asg. Here**

1. Collect consecutive six months spot and future share prices data of the assigned companies [Download MSc Finance]. [Download MBA 1.5]

2. Find the hedge ratio between spot and future prices

3. Assume that you have a long position of 3000 shares in the assigned company, then find the number of future contracts (N) to hedge your position

4. Tell whether short-selling or taking a long-position will hedge your existing position

5. Calculate profit or loss right after the six months period (the period which you have used for calculating the hedge ratio)

6. Tell whether your position is fully hedged or not based on the findings in step 5

**PART II (4 marks)**

**assignment 3**

risk management practices in Pakistani banks:Summarize risk positions (exposures) and risk management practices of the assigned bank in the last 3 years covering the following points. Also, give definitions of the following points from the bank’s annual reports, website, or other documents (using your own wordings).

**A. Risk Management Responsibility**

a. Risk Responsibilities (who is responsible for creating risk framework and implementation of the same)

b. Risk Management Group Organization

**B. CREDIT RISK**

a. Sovereign Credit Risk

b. Non-Sovereign Credit Risk

c. Counter Party Credit Risk on Interbank Limits

d. Country Risk

e. Credit Administration

f. Portfolio Risk Measurement Models

g. Early Warning System

h. Management of Non Performing Loans

i. Portfolio Diversification

**C. MARKET RISK**

a. Risk Pertaining to Trading Book

i. interest Rate Risk - Trading Book

ii. Equity Position Risk –

1. Equity price risk

2. Concentration risk

iii. Duration GAP Analysis (having implication for market risk)

b. Market Risk Capital Charge in each of the three years for the above

c. Market risk arising from Foreign Exchange Risk

D. LIQUIDITY RISK

D. LIQUIDITY RISK

a. Maturities of Assets and Liabilities

**E. OPERATIONAL RISK**

**F. Off-balance exposures:**

a. Letter of credit (all types, their definitions and their implication for risk/exposures/risk management)

b. Letter of guarantee

1. The assignment must be done in MS-Excel and submitted [Msc Finance here and MBA here ] no later than Jan 8, 2017. The email subject should be in this format: **Student Names -VOLATILITY ASSIGNMENT**, and the file name should in this format Student - VOLATILITY ASSIGNMENT. IF you do not follow these instructions, you assignment will not be recognized by my email filter and may land anywhere in clutter which my email is full of.

3. Delayed submission will cost you 0.5 marks per day

4. All calculations and detailed steps should be shown in the Excel sheets

This assignment involves the application of concepts related to market risk models. You are required to collect daily share prices data of the assigned company for PART-I of the assignment. Minimum number of observations should be 500. Suppose that your bank has invested Rs.500,000 in the firm.

Requirements:

**A: PART - I**

1. Find volatility with:

a. simple standard deviation assuming zero mean

b. Simple standard deviation with normal formula

c. EWMA

2. Update volatility for 10 days after you have calculated it in the first step.

3. Calculate VaR of the firm at 95% confidence over 5 days with parametric approach using the measure of volatility as calculated in Req.1

4. Plot distribution of the returns using Histogram and explain whether the distribution can be called normal?

5. Calculate VaR of the firm over 5 days with historical simulation method at 5^{th} percentile