This paper is about International Banking Regulation and Foreign Exchange Risk. It also entails Market risk estimation.
International Banking Regulation- Foreign Exchange Risk
which must be stated at the cover page of the assignment.
• Font – Arial 12, whole document being justified on both sides with 1.5 line spacing.
• Titles and headings should be in bold. Section headings should be numbered e.g. 3.1.
• Referencing must be as follows:
McMath, M. (2016) Liquidity mismatch and maturity transformation: a study on the UK banks, International Journal of Risk and Return, Vol. 11(7), pp. 21-29
• Citation should be as:
McMath (2015) and if more than two authors should be as McMath et al., (2015)
Quotations of more than 2 lines must be indented and in italics with the reference and page number stated.
Then tables and diagrams should be inserted at an appropriate point in the text and should be easily readable.
If you are attaching any appendices, please keep it to the minimum.
include graphs from BLOOMBERG
REFERENCE MUST BE BETWEEN 25-30
International Banking Regulation- Foreign Exchange Risk
Assessment Questions:
Part A: International Banking Regulation
Firstly, critically discuss the significance of capital adequacy requirements of Basel III in making the banks safer. Support your arguments with relevant literature.
Part B: Market Risk Estimation
Secondly, you must select 5 corporations in Doha-Qatar of your choice from the same industry. All the data you need to collect must be consistent with this date.
Compute VaR of your portfolio using Variance-Covariance, Historical Simulation and Monte-Carlo methods. Time horizon 1 year. Confidence interval 99%. Calculate the Expected Shortfall. Moreover, present your results and discuss the findings.
Part C: Foreign Exchange Risk
Thirdly, discuss with examples the types of foreign exchange risks faced by Financial Institutions. Also, illustrate the hedging strategies used for foreign exchange risk.
International Banking Regulation- Foreign Exchange Risk
Part D: Credit Risk
Fourthly, discuss Creditmetrics approach to calculating credit risk. What are benefits and shortcomings of the model? Finally, suggest improvements in the model.
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