Bank Risk Management: Coursework Support

Learning Development Centre W508-W512

 Types of Academic Coursework

Essay - Ethics, Sustainability and Governance coursework

Focuses on a concept or abstract problem, drawing on the literature and often illustrative
examples
Traditionally continuous prose, but now headings are sometimes used – marker’s
preference

Report
Focus on analysis of “real world” issue (eg company, financial analysis, risk analysis )
Use of heading and sub-headings

Case study
application of theory/models/literature to discuss individual company
similar layout to report

Dissertation
Extended investigation of a research topic
You are required to write a risk analysis report that consists of Value-at-Risk (VaR) or the expected shortfall (ES)
calculations using real financial data and conduct critical analysis of the results.

To do this, you need to search and download two financial data over 3-year time windows. The data can be share or
stock prices, foreign exchange rates, interest rates, or commodity prices. You only need two sets of financial data in
daily frequency. You are required to:

(1) Compute
– single VaR and ES for each data using a statistical approach [5 marks]
– portfolio VaR and ES using the variance-covariance approach [10 marks]
(2) Using the historical simulation approach, compute
– single VaR and ES for each data [7.5 marks]
– portfolio VaR and ES. [7.5 marks]
(3) Interpret and critically discuss the sources of risk exposure given your selected dataset using the results you get
from (1) and (2).
(4) Suggest hedging strategies or other risk-mitigating strategies based on your results [30 marks for (3) and (4)]

You may want to consider the following:

• weights for each data you use in a portfolio.
• confidence level, i.e. 95% and 99%.
• comparison between each model or approach
You also need to write a report to communicate the findings from your analysis. The report should describe the
purposes and results of your work. A well-written report should demonstrate your ability in the following
components:

Methods (including brief literature review): You need to explain the procedures you use in the modelling process.
The explanations should include collecting, evaluating and analysing relevant information to support your
calculations. A good discussion and critical evaluation should be provided, along with citations of relevant
sources. (10 marks)

Findings and Discussions: Interpret and critically discuss the sources of risk exposure based on the results you get
from the results in doing tasks (1) and (2). You should make appropriate arguments supported by the findings and
evidence. Your discussions should be based on relevant theories and include the following components:
– Evaluation of data, computation, and results
– Critical reasoning
– Logical structure of discussion
– Quality of discussions (60 marks)

Conclusions and Recommendations: Recommendations should be adequate in terms of scope and underpinned
by the analysis. The recommendations should reflect an understanding of the report. Strengths and limitations of
the assessed recommendations made with due consideration of the context. (10 marks)
 Report Structure
Title Page
Terms of Reference
Table of Contents
1.0 Introduction
2.0 Methods
3.0 Results
4.0 Discussion
4.1
4.1.1.
4.1.2
4.2
4.3
5.0 Conclusions & Recommendations
References
Terms of Reference
Who is the report for and what it its purpose?

Introduction
Relevant background – introduce companies and analysis
Evidence of importance of issue(s) from regulatory body? Real events? Bank RM perspective?
Perhaps justify choice of data set type?
Defines aim of report and scope/outline of structure

Methods
Explain and justify your statistical choices
benefits /limitations of the approach(es) you’ve selected /rejected?
why one approach in preference to another?
Evidenced by literature

Findings & Discussion

Present the findings of your analysis ie VaR and ES calculations
What do they mean?
acceptable/elevated level of risk?
Why? What are the most likely sources of risk? External/internal?
Interaction of range of factors
Evidenced by literature
 What is the literature?
Academic Literature
• Textbooks (baseline knowledge )

• Academic journal articles – peer reviewed journals (use resource list)

Grey Literature will also be useful

• Professional body publications

• Company websites

• Industry and sector reports

• Specialist databases

• Newspapers/business press
 Strategies for managing reading

• frame questions to guide your reading – what do you need to read about? Eg benefits/limitations of
of different statistical approaches to analysing risk

• be selective skip unnecessary examples or detailed explanation.

• use different reading techniques

• Preliminary overview –
• Headings/sub-headings
• Ladder reading (1st /last sentences of paragraphs)
• Select relevant sections for more detailed reading

• adjust your rate to suit the purpose and material

• identify your own reading stamina and build it up over time

• use a reading template to take notes

 Features of Academic Text
• Written in 3rd person ( no I or you)

• Written in a formal, but not overly elaborate style – the best academic writing expresses complex
ideas as simply as possible

• Academic writing is precise – hence use of low-frequency words and phrases. Check meaning and use

• Organised in paragraphs: clear layout, structure and linking of key points

• A paragraph develops an idea across several sentences – avoid one-sentence paragraphs
• First sentence introduces an idea – the idea is developed in the rest of the paragraph
• Logical flow is created through content linking, not just words like furthermore, in addition,
moreover

• Builds critical analysis of the topic – draws on contributions from different sources around one issue
to develop critical analysis.

• Cites sources in the text to build analysis and show knowledge – useful to show and consensus
perspectives (multiple citations)

• Includes a reference list that records the full details of each source cited
Structuring the introduction

Background (the risk assessment methods could also be introduced briefly here and discussion of
limitations/benefits developed in the methodology)
• What are VaR and ES?
• Why are both metrics useful? What does each add to the depth of analysis?
VAR and ES metrics are important for… (Smith 2020). The purpose of VaR is to calculate ……… (Brown 2018).
However, VaR does not calculate/only calculates X, so the ES calculation enables/offers….. (Green 2023)

Aim and scope

• This report presents an analysis of….. what datasets, what does the data include, what time period/intervals.
• The datasets were collected….data source? Over what period of time?
• These datasets /companies were selected/are important because….
• The purpose of the analysis is to calculate ………
Structuring the methodology

What are the strengths and limitations of each method?

What are the benefits of combining methods?
Method X combines….. It assumes……..While the simplicity of the representation of portfolio loss makes this an attractive
model, the assumption that ……. may not not accurately reflect potential losses(Green 2016)
Method X is the simplest method of calculating VaR and is therefore useful for….

Findings and Discussion

Present analysis in tables – think about attractive presentation

VaR was calculated with a 95% confidence level, meaning that….(BoE 2024)
What do the findings mean?
Org X, with an estimated VaR daily loss within the range of ….. performed better than Org Y, with estimated daily losses
ranging from….
The higher risk of loss for Org X may be due to../can be explained by../may be the result of…..

Recommendations
Investors are advised to….
Risk can be mitigated by…
For X to be effective as a risk mitigation strategy, it is important to…..
 Citing and Referencing

Cite sources in the text : author’s last name or organisation’s name and year of publication

Source in brackets at end of sentence – citation is provided as extra information

Performing fraud auditing could significantly increase companies’ expenses, when it is not always likely to appear
necessary (CMI, 2022).

AND

Record the full details of all these cited sources in a single, alphabetically arranged reference list at end of the
coursework

[Link]

How many sources?

• How wide is your reading?

• How critical is your discussion?
 Writing a reference list
Cohen, J.R., Ding, Y., Lesage, C., & Stolow, H. (2019) Expectation Gap and Corporate Fraud: Is Public Opinion
Reconcilable with Auditors’ Duties? CAAA Annual Conference 2018. Available at SSRN:
[Link] or [Link]

Dennis, I. (2017) What do you expect? A Reconfiguration of the Audit Expectations Gap, International Journal of
Auditing, 14:2, pp.130-146

Gray, I., Manson, S. & Crawford, L. (2019) The Audit Process: principles, practice and cases, Sixth edition, Cengage
Learning, Andover

Hemraj, B. (2018), ‘Preventing Corporate Scandals’, Journal of Financial Crime, 11:3, pp268 – 276

IAASB (2021) Clarity Center Project Overview, Available at: [Link] Accessed 14
October 2021

[Link]
 Writing Development Sites
Library [Link]

Referencing [Link]

LDC site on GCU Learn

Academic Writing in English - meaning and use of linking words

[Link]

The Academic Phrase Bank - [Link]

An online collocations dictionary [Link] - useful for vocabulary building and paraphrasing.