Assessment brief and Assignment checklist included (PLEASE FOLLOW CHECKLIST). the bank i selected is wells fargo bank. PLEASE do assignment with respect to selected bank. There are 4 themes. 1. Interest Rate 2. Liquidity Risk. 3. Operational Risk and 4. Fruad Risk. All instructions are in brief and checklist so please view.
Assessment brief includes some extra notes and some references to use as well. Assessment brief includes assignment style guidlines. Measures? Outcome expected? Literature? Content Quantitate / Qualitative Measure? Critical Reflection ?
1. In the context of the most recent international regulatory frameworks, critically evaluate the role of the bank?s asset-liability committees (ALCOs) (critically evaluate their performance) in measuring and managing interest rate and liquidity. In order to support this, you are required to calculate and interpret appropriate measurement techniques? 1 An exemplary review of the interest rate and liquidity risk literature, check each week literature list and download it, segregate it? use it for supporting your explanation. use formulas from the article and reference appropriately Do not just describe what is already available. Use it for critical reflection? ?
2 providing critical arguments of how banks address the regulations on all aspects of identifying measurement and management (ALCO).? You have fully understood how this risk affects your bank via your quantitative examples and have ascertained areas for improvement. Annual Report / Pillar 3 Disclosure -???????????????? Pillar 1: Capital & Liquidity Requirements
Pillar 2: Supervisory Review (Firm-wide Mgmt. & Plans) / (interest risk in the banking books consolidated into Basel 3) Demonstrate ? how to measure IRR & LR (do not be descriptive and waste words) Examples ? mathematical from the financial reports). Examples in the ppt slides, seminar solutions etc.??? Interest Rate Risk (IRR)- Measure from the annual report identify Rate sensitive assets/ liabilities/sticky etc. – check the Pillar 3 DR for identifying the assets and liabilities for work out Repricing Gap/Maturity/Duration model with interpretations – assess the bank has a negative or positive maturity/duration model. Use excels tables and calculations?? ?Critically evaluate ALCO performance in measuring and managing IR and LR in the bank.? Positive maturity/ duration Gap??
Comment on the following?
Re-financing risk Banking Book
Re-investment risk Banking Book
Market value risk Trading Book ?
Impact of change in the interest rate regime?? expect the interest rate to drop? Predict the impacts of increase/ decrease interest rates?
Investigate on their interest rate risk appetite use it to suggest how the bank is predicting interest rate changes.? how the bank assumes the IR doing in the future, banks assumption on the future IR rises or decreases.? ?
Liquidity Risk (LR)-?Measure from the annual report? LCR and the NSFR- with interpretations
Bank performance in meeting these indicators funding structure (liquidity), explore what are the future scenarios and the preparations there in. with conditions now and in the future, what re the challenges expected in terms of liquidity.? ?
?how the bank potentially hedges these IRR (macro/micro) and LR exposures, Pillar 3 Basel disclosure?
Management of both risk- hedging interest rate risk exposure,? Principles in National regulars – best practice in liquidity and interest rate risk management and whether the bank adhere to the two sets of the RM principles. Yield curve ? does the ALCO use yield curve to predict? ?
?You have fully understood how this risk affects your bank via your quantitative examples and have ascertained areas for improvement.
Using literature and examples, compare the operational risk management performance of your chosen bank with the dynamic regulatory and banking environment over the last three years. In response, construct a fraud risk assessment framework using these examples and future potential exposures. This framework should acknowledge the current legislative and regulatory infrastructure in which your bank operates. 3 You have produced an exemplary examination of the operational risk literature, providing critical arguments of how banks address the regulations on all aspects of identifying measurement and management issues. You have fully understood how this risk affects your bank via your quantitative examples and have ascertained areas for improvement.? how academicians view bank operational risk, check each week literature list and download it, segregate it, Annual Report / Pillar 3 Disclosure -?? Sources of op risk. How operational risk have changed in the modern period, what are the new threats ? changes in 3 yrs. ? literature- the increasing risk measurement techniques for 3 yrs.- how the bank measure, Basic indicator approach, Basel II Standardized approach, Advanced measurement approach, Basel III Standardized approach, Critique of the operational risk measurement approaches sophisticated threat- practice, Management and regulatory infrastructure
4 An excellent approach to construct an effective fraud risk assessment framework to mitigate against potential fraud risks for the bank of your choice. Further you have drawn from wider examples to compare. check each week literature list and download it, segregate it, pillar 3 Disclosure + News related to scams, scandals, fraud from google Sources, Fraud theories – The Fraud Triangle, The Fraud Diamond, The Fraud Pentagon, The Fraud Scale, The New Fraud triangle,? KPMG Fraud risk assessment, Fraud risk assessment framework Identify potential operational risk threats, cases of Fraud(int/external)
Construct fraud risk assessment framework table-adopting one of the fraud risk assessment techniques?
?Framework- past case, learned, potential future exposure or the future, who is involved, steps for prevention? Acknowledge Legal and regulatory ? based on the bank?s operate, based on the bank?s Jurisdiction.
Regulatory ? Basel 3 universal, operational risk principles and compare it with the bank?s policy and procedure.?