FRM Assignment 2

Risk Management Practices among Pakistani banks

Due Date : Nov 25, 2012

Marks : 05

    The following assignment has 5 marks: Marks will strictly depend upon: 

    a.   Originality of the work (plagiarism index should not be higher than 15%)

    b.   Completeness and quality of your answers

    c. Submit the assignment to https://www.turnitin.com/ by creating new according to the following steps:

Click on this link https://www.turnitin.com/ >> Create a new account >> New students start here>>>

2.     In the class ID space, give these digits 5788770

3.     In the password, write= imsms

4.     Complete the rest of the registration process

5.     Once the registration process is complete, then login into your account

6.     After login, click on the class "MS 2012 "

7.     And then click on " Risk Management Practices among Pakistani banks "

8.     Click on submit button and upload your assignment

9.     After 10 minutes, you can see the originality report of your assignment

Assignment:

Summarize risk positions (exposures) and risk management practices of the assigned bank in the last 3 years covering the following points. Also, give definitions of the following points from the bank’s annual reports, website, or other documents (using your own wordings).

A. Risk Management Responsibility

    a. Risk Responsibilities (who is responsible for creating risk framework and implementation of the same)

    b. Risk Management Group Organization

B.  CREDIT RISK

a.   Sovereign Credit Risk

b.   Non-Sovereign Credit Risk

c.   Counter Party Credit Risk on Interbank Limits

d.   Country Risk

e.   Credit Administration

f.    Portfolio Risk Measurement Models

g.   Early Warning System

h.   Management of Non Performing Loans

i.     Portfolio Diversification

C.  MARKET RISK

a.   Risk Pertaining to Trading Book

                               i.    interest Rate Risk - Trading Book

                              ii.    Equity Position Risk –

1.   Equity price risk

2.   Concentration risk

                            iii.    Duration GAP Analysis (having implication for market risk)

b.   Market Risk Capital Charge in each of the three years for the above

c.   Market risk arising from Foreign Exchange Risk

D.  LIQUIDITY RISK

a.   Maturities of Assets and Liabilities

E.  OPERATIONAL RISK

F.   Off-balance exposures:

a.   Letter of credit (all types, their definitions and their implication for risk/exposures/risk management)

b.   Letter of guarantee