Advanced Risk Management Coursework
For this coursework you must complete both sections. Each carries equal marks.
This part of the coursework is concerned with estimating credit risk. First select a FTSE 100 company – make sure it is one for which there are actively traded CDS contracts or asset swaps for which you can get data on the spread.
You may do this either in excel or c++. In either case you will have to submit the excel workbook or c++ program which performs the calculations along with the data you have used and the time series you have produced.
Additionally you should write short (500 word) description of how you have performed the calculations and any assumptions you have had to make.
For this part both the 500 word description and either the excel book or c++ program used to calculate the results should be submitted along with the time series of default probabilities and the data you used.
This part focus on a new area of risk and will require some research:
“How the clearing of over-the-counter transactions through CCPs has affected risks in the financial system? Has this reform enhanced financial stability? And risk transformation?”
Your answer to this part should be no longer than 1000 words plus references. You may find it useful to consult the “Current issues in financial markets” section of the FRM readings: https://www.garp.org/#!/frm/readings/required
The deadline for the coursework is the 5th of July. You should submit all of your files on Blackboard.