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).
- words, 40 marks)
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.
(1500 words, 40 marks)
(Total for Part A and Part B = 80 marks)
These provisions apply to all assessments, including those assessed on a Pass/Fail basis.
Word limits and penalties
If the assignment is within +10% of the stated word limit no penalty will apply.
The word count is to be declared on the front page of your assignment and the assignment cover sheet. The word count does not include:
| · Title and Contents page | · Reference list | · Appendices | · Appropriate tables, figures and illustrations |
| · Glossary | · Bibliography | · Quotes from interviews and focus groups. |
Please note, in text citations [e.g. (Smith, 2011)] and direct secondary quotations [e.g. “dib-dab nonsense analysis” (Smith, 2011 p.123)] are INCLUDED in the word count.
If this word count is falsified, students are reminded that under ARTA this will be regarded as academic misconduct.
If the word limit of the full assignment exceeds the +10% limit, 10% of the mark provisionally awarded to the assignment will be deducted. For example: if the assignment is worth 70 marks but is above the word limit by more than 10%, a penalty of 7 marks will be imposed, giving a final mark of 63.
Students must retain an electronic copy of this assignment (including ALL appendices) and it must be made available within 24hours of them requesting it be submitted.
Note: For those assessments or partial assessments based on calculation, multiple choice etc., marks will be gained on an accumulative basis. In these cases, marks allocated to each section will be made clear.
Academic Misconduct
The Assessment Regulations for Taught Awards (ARTA) contain the Regulations and procedures applying to cheating, plagiarism and other forms of academic misconduct.
The full policy is available at: http://www.northumbria.ac.uk/sd/central/ar/qualitysupport/asspolicies/
You are reminded that plagiarism, collusion and other forms of academic misconduct as referred to in the Academic Misconduct procedure of the assessment regulations are taken very seriously by Newcastle Business School. Assignments in which evidence of plagiarism or other forms of academic misconduct is found may receive a mark of zero.
You are advised to use the Plagiarism Checker prior to the formal submission of your assignment.
Mapping to Programme Goals and Objectives:
Programme (Level) Learning Outcomes that this module contributes to:
Knowledge & Understanding:
- Assess knowledge of contemporary professional practice in business and management informed by theory and research. [LO1.1]
- Appraise knowledge of business and management to complex problems in professional practice in order to identify justifiable, sustainable and responsible solutions [LO 1.2]
Intellectual / Professional skills & abilities:
- Critique creative and critical thinking skills that involve independence, understanding, justification and the ability to challenge the thinking of self and others [LO 2.2.]
Personal Values Attributes (Global / Cultural awareness, Ethics, Curiosity) (PVA):
- Critique their personal skills and attitudes for progression to post-graduate contexts including professional work, entrepreneurship and higher level study [LO 3.2]
Module Specific Assessment Criteria
Knowledge & Understanding:
- Develop knowledge and understanding of banking credit and market risks. [MLO1]
- Critically evaluate the measurement models and the management issues in the context of the regulatory requirements within the banking and finance sector. [MLO2]
Intellectual / Professional skills & abilities:
- You will develop the quantitative as well as qualitative skills while measuring and managing the credit and market risks. [MLO3]
Personal Values Attributes (Global / Cultural awareness, Ethics, Curiosity) (PVA):
- You will be made aware of the risk facing international financial markets and how you can equip management with the knowledge and expertise to implement stronger organisational controls to address these risks. [MLO4]
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% | |
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Part A on Credit Risk and Counterparty Credit Risk Maximum Mark = 40
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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.
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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.
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Excellent research on thecredit 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. |
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Part B on Market Risk Maximum Mark = 40
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Very weak, particularly background research into the VaRanalysis and with little attempt to provide an example. | Insufficient research into the VaRanalysis. The use of real world asset class is incorrect or incomplete. FRTB discussion is very minimal. | Reasonable understanding of the VaRanalysis with an attempt to illustrate real world numerical examples. Some overview on the FRTB.
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Good levels of understanding of the VaRanalysis 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 VaRanalysis 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.
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Excellent understanding of the VaRanalysis 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.
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Outstanding researchof the VaRanalysis 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 VaRanalysis by using real world asset class. Exemplary critical discussion on the FRTB with detailedand meaningful assessment of how this new regulation would challenge market risk management. |
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