UBFF3293: Risk Management Bros Consulting Firm - Management Assignment Help

Assignment Task:

Task:

Question 1
You are currently working as an analyst at Bros Consulting Firm. Your boss has instructed you to form an equity fund portfolio which consists of ONE (1) equity in Construction, Finance and Plantation sector. All these portfolios have total fund size of RM 8 million respectively. Before you can start with your analysis, you have to collect monthly stock prices of each stock in your portfolio over the last 12 months.

You are required to :
(a) Compute monthly stock return of each stock in your portfolio in each of the last twelve months. Show your answers in organised tabular format. (9 marks)
(b) Compute average monthly stock return and standard deviation of returns of each stock over the twelve-month period. (9 marks)
(c) Compute covariance and correlation between each possible pair of stocks in your portfolio. (9 marks)
(d) Compute portfolio’s return and standard deviation assuming funds are split equally in each of the three companies’ stocks. (5 marks)
(e) Compute monthly value at risk (VaR) of each stock and the portfolio at 95% confidence interval. Assume there are 21 trading days in a month, compute daily VaR of each stock and the portfolio. (8 marks)
(f) Recommend which two stocks to invest in if your boss plans to reduce the 3-stocks portfolio into 2-stocks portfolio. Explain. (3 marks)
(g) Compute the proportion of funds to be invested in each of the two stocks recommended in part (f) above in order to minimise portfolio’s standard deviation. Subsequently, compute the portfolio’s standard deviation and monthly VaR at 95% confidence interval. (7 marks) [Total: 50 marks]

This assignment consists of 2 questions on 4 printed pages.

Question 2
Based on the above (selected companies), your team is required to conduct a thorough risk evaluation for all THREE (3) companies.
Required
(a) Describe the background (operation, management team, market etc.) of the company. (5 marks)
(b) Identify (Survey, Interview, Observation or Data gathering) and quantify the risk (through calculation or transform the risk into a measurable form) (15 marks)
(c) Explain and evaluate risk management issues from this case. (15 marks)
(d) Make recommendations for the company to overcome the problems identified and evaluated. (15 marks)
[Total: 50 marks]

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