Banking risk

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).

(1500 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.





Sample Solution