Marylebone Bank's Case Study - WBS Bank - Chief Financial Officer - Market Risk - Report Writing Assessment Answer

Marylebone Bank's Case Study  - WBS Bank - Report Writing Assessment Answer

Assessment Task:

When preparing the report, you have been asked to address the following points:

1. Calculate Marylebone Bank's respective market risk capital charge under the Basel ill framework:

(a) Choose five companies, which are constituent firms of the FTSE 100 index, and collect the respective historical adjusted prices for each of these over the last 501 trading days.

(b) Calculate the respective market risk capital charge for the share portfolio.

2. Calculate Marylebone Bank's respective total credit risk-weighted asset value under the Basel ill framework.

3. Calculate Marylebone Bank's respective operational risk capital charge under the Basel In framework.

4. Calculate Marylebone Bank's respective total risk-weighted assets figure and Tier 1 and Tier 2 capital reserves under the Basel III framework. 5. Calculate Marylebone Bank's respective net stable funding ratio. 

Topic: 04

Risk & Regulations

Topic: 03

Value-At-Risk & Extreme Value Theory

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