User Account

All Pages

Risk Management project, Risk Management

Assignment Help:
Imagine you are the Chief Risk Officer of a newly-formed bank, with a focus on corporate lending in Slovakia. The bank is largely funded by local deposits. The CEO (and so does the regulator) wants to know if sufficient capital has been allocated against assets, and what provisioning policy should be. He would also like your views on pricing of loans and deposits, so that the bank can make a decent profit while making competitive headway without excessive risk. The bank takes small positions in trading local government bonds. The CEO would also like you to assess the bank’s VAR, as well as liquidity, to be sure no undue risks are being taken.

Following is the financial position of the bank after the first year of operations:

Assets (Euro millions)

Cash 194
Due from banks 86
Securities 1200
Gross loans 2700
Loan loss reserves (LLRs) -150
Fixed assets 75
Other assets 175
Total assets 4280

Liabilities & Equity

Deposits 2573
Due to banks 782
Market funds 200
Other liabs 196
Equity 529
Tot liabs & equity 4280

Income Statement

Int inc 300
Int exp -170
=Net int inc 130
Trading inc 20
Net fee & comm. Inc 30
=Optg inc 180
Personnel exp -55
Other optg exp -70
D&A -13
=Pre-prov inc (PPI) 42
Loan loss provisions (LLPs) -29
=P-t inc 13
Tax -3
=Net inc 10
In addition to the above requests from the CEO, he would also like your input on measures to reduce operational risk, and what dividend policy should be.

The bank’s €2.7 billion gross loan book is rated as follows:
€1 billion of BBB rated loans,
€1 billion of BB rated loans
€500 million of B rated loans
€200 million of CCC rated loans. There are no collateralized loans or off-b/s items.

Securities of €1.2 billion are all invested in A rated government bonds.

VAR = 553 mm

Loans are evenly divided between 1, 2 and 3 years’ maturity.

Deposits are 50% demand (due at any time), 25% in 9 months, and 25% over 1 year.

Market debt is of 2 years’ maturity.

Please formulate your recommendations to the CEO (me). Thank you

Related Discussions:- Risk Management project

How will you deal with major risks, Question: XYZ Textiles Ltd manufact...

Question: XYZ Textiles Ltd manufactures high quality value added knitted garments at its premises in the Industrial Zone in Plaine lauzun. XYZ has a daily capacity of 10 000 pi

Risk management process, discuss all about process in risk management

discuss all about process in risk management

Risk - reward ratio - using the sml, You observe the following statistics i...

You observe the following statistics in the market. The stock of YUM! Brands Inc. (the holding company of KFC, Taco Bell and Pizza Hut among others) costs $66.24 today. Analysts es

Differentiate between implied and historical volatility, Question 1: (a...

Question 1: (a) What are the distinct types of assets under which derivatives can be based upon? (b) Give at least 5 risks that justify the existence of derivatives? Endorse

Explain about sharpers market model, Q. Explain about sharpers market model...

Q. Explain about sharpers market model? One important basic development in the portfolio management that led to the development of CAPM was the measurement of risk. The pioneer

Define risk analysis, RISK ANALYSIS: THE NEW  PARADIGM  IN FOOD SAFETY  ASS...

RISK ANALYSIS: THE NEW  PARADIGM  IN FOOD SAFETY  ASSURANCE   In  the  early  part  of  the  20th  Century, safety  concerns  led  to  the development of performance  criteria

Risk Analysis & Modelling , Fire Risk model 1 1. Introduction The new All...

Fire Risk model 1 1. Introduction The new All-Scotland Fire Authority wishes to maximise the effectiveness of the service it provides to the Public, given the reduced budget it w

Any materials available on this topic, Any journal or books available on th...

Any journal or books available on this topic

Conducting risk assessment in a confined space, Probelm 1: Describe the...

Probelm 1: Describe the factors that should be considered when conducting risk assessment in a confined space. Probelm 2: (a) Distinguish between workplace-based and

Explain the use of hani-raafat risk calculator, Question 1: (i) Descri...

Question 1: (i) Describe five steps to risk assessment for work-related driving activities. (ii) List ten important points which employers should consider to ensure that wo

Write Your Message!

Captcha
Order Assignment

Featured Services

Order Now

Popular Subjects

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

Submit Assignment

Academics

Major Subjects

Majors

Get In Touch

whatsapp: +91-977-207-8620

Phone: +91-977-207-8620

Email: [email protected]

TERMS & POLICIES

HELP & SUPPORT

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd