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 interpreting financial risks on a specific company.

Assignment Outline:

Assuming you were employed as a risk analyst for a US investment bank, On 31st August 2022, You selected four listed companies (stock A, stock B, stock C, stock D) from S&P 500 index for the bank, The portfolio is valued at $100 million (+/-5%) that includes $50 million (+/-5%) on stock A, $20 million (+/-5%) on stock B, $15 million (+/-5%) on stock C and $15 million (+/-5%) on stock D. The senior management asks you to examine the risk of this portfolio (The values are measured in US dollars).

Required:

1.Download 1000 daily historical stock price data of the four companies selected with other relevant data upto August 31, 2022. Estimate the one-day and the five-day Value-at-Risk with a confidence level of 99% level of the portfolio using historical simulation method respectively. Show all your workings.
(40 marks)

2.Critically evaluate the method of historical simulation for estimating Value-at-Risk. Your discussion should include at least 2 academic papers on the topic.
(25 marks)
3.Identify and describe the specific risks exhibits at each of the four chosen companies. These include the market risk, risks to the sector*, foreign exchange rate risk*, credit risk*, operational risk* and others. (* note numerical analysis is not required for these risks due to difficulty of obtaining data), depending on the company chosen. Evaluate if and how any of the specific risks described above could be reduced by the investment bank. Discuss with the consideration of the current political and economical environment.
(25 marks)

4.Your report should include a title page with the actual names of four chosen companies and a page for the executive summary (no more than 200 words) to highlight your key findings. The report should be presented in the required format (refer to Format of Coursework).
(10 marks)

Format of Coursework:

1.Anonymous marking applies: do NOT include your name or student number within the filename or anywhere within your report.
2.Save your report using the company A name as the filename (e.g. A.doc).
3.An Excel spreadsheet (labelled with your chosen company A name), containing stock data and all calculations where necessary should be submitted via the module blackboard site.
4.The data for the study must be obtained from reliable sources, such as books, company reports, public reports, newspapers, periodicals, financial data systems. You are expected to make full use of all the facilities offered by the University libraries and other sources. Examples of other sources of information include the Financial Times, the Economist, Investors Chronicle, Fame database, Bloomberg, DataStream, Yahoo Finance, Excel cards and databases.
5.In the case of company-related information and other documentary data, copies of the relevant pages of annual reports or financial-information sheets should be attached in an appendix at the back of the report.
6.The report is 1000 words (10%) excluding appendices, with size 12 font and 1.5 line spacing for the main text.
7.The rules on late submission and plagiarism are applied and fully enforced by the School: Section 10: Academic misconduct (westminster.ac.uk).
8.List of References should be included if any materials were cited in the report, following the Westminster Harvard Referencing Style. Appendices may be used where necessary to include relevant definitions or data.

The assignment must go through Turnitin and submitted electronically before 13:00 on Thursday 17 November 2022.

The rules on late submission and plagiarism are applied and fully enforced by the school.

Submission of Coursework
Unless explicitly stated otherwise in writing by the module leader, all coursework on this module is submitted via Blackboard only. It will automatically be scanned through a text matching system (designed to check for possible plagiarism).

To submit your assignment:

Log on to Blackboard at http://learning.westminster.ac.uk;
Go to the relevant module Blackboard site;
Click on the Submit Coursework link in the centre of the module page, as advised by the module teaching team;
Click on the link for the relevant assignment;
Follow the instructions.

You will be given details by the module teaching team about how and when you will receive your marks and feedback on your work.

Grading criteria, Marking guidance and Learning Outcomes:
Criteria Main learning outcome assessed Weight
Portfolio risk estimation and explanation Demonstrate a deeper understanding of risk management in organisations;
Demonstrate a critical understanding of risk management in a global context;
Apply relevant digital media creatively and innovatively; 40%
Critical evaluation of historical simulation for risk estimation Demonstrate a critical understanding and interpretation of complex financial problems and theories;
Formulate a complex argument within a theoretical and contextual framework. 25%
Critical evaluation and analysis of specific risks and risk reduction Demonstrate a critical understanding and interpretation of complex financial problems and theories;
Formulate a complex argument within a theoretical and contextual framework. 25%
Structure, writing style and referencing Effectively communicate solutions and recommendations to complex case scenarios to a business audience 10%

REMEMBER:
It is a requirement that you submit your work in this way. All coursework must be submitted by 13:00 on the due date.
If you submit your coursework late but within 24 hours or one working day of the specified deadline, 10% of the overall marks available for that element of assessment will be deducted, as a penalty for late submission, except for work which is marked in the range 40 49%, in which case the mark will be capped at the pass mark (40%).
If you submit your coursework more than 24 hours or more than one working day after the specified deadline you will be given a mark of zero for the work in question.
The Universitys mitigating circumstances procedures relating to the non-submission or late submission of coursework apply to all coursework.