Submission and feedback dates

Submission deadline:              Task 2 before 14:00 on Monday 27th  November

Is eligible for 48 hour late submission window

Marks and Feedback due on: Task 2: Tuesday 2nd January

N.B. all times are 24-hour clock, current local time (at time of submission) in the UK

Submission details

Module title and code:           Credit Risk Analysis and Management UMAD5W-15-3

Assessment title:                     Portfolio Task 2

Assessment weighting:          20% of total module mark

Size or length of assessment: Not Applicable

Module learning outcomes assessed by this task:

1. MO3 Demonstrate a good understanding of the main concepts in credit risk that are probability of default, loss given default and exposure at default and be able to apply a variety of models for their accurate measurement

2. MO4 Carryout a comprehensive financial ratio and cash flow analysis of any company to try and quantify credit risk

3. MO6 Demonstrate an understanding of the application of portfolio theory in a credit risk context and appreciate the practices developed to overcome the associated problems

4. MO7 Identify, understand, discuss, critically assess and employ credit derivatives to mitigate credit risk

5. MO9 Critically appraise the role of volatility and correlation in credit risk and exhibit the ability to empirically apply methods, such as Value At Risk (VaR) to successfully report and manage credit risk

Completing your assessment

What am I required to do on this assessment?

Using daily adjusted closing share price data, calculate the following in Excel, for a two-asset portfolio worth £1,000,000. Each student has been randomly allocated two companies from the London Stock Exchange; the details can be found in the assignments folder on Blackboard. This list will be published in due course.

For your two-asset portfolio calculate:

•    Expected Daily Return, Standard Deviation and Variance of each asset Covariance and Correlation Coefficient between the two assets.

•    Expected Daily Return, Standard Deviation and Variance of a two-asset portfolio with a 50:50 weighting.

•   The weightings in each asset in the minimum variance portfolio.

•   The weightings in the optimum risk return portfolio, assuming a 2% annual risk-free rate of return.

•   The 95%, 99% and 99.9% one day Value at Risk using the historical approach, of a two-asset portfolio with a 50:50 weighting.

•   The 95%, 99% and 99.9% one day Value at Risk using the parametric approach, of a two-asset portfolio with a 50:50 weighting.

Use daily share price data from 01/11/2018 to 31/10/2023

Please submit a single MS Excel file, that includes the data collected for your allocated   companies. Please use as many different sheets within the single Excel file as you need.

Where should I start?

Once the list of allocated companies has been published, please check that you can

successfully access a full set of data for both of your companies. Please contact John Bray as soon as possible if you have not been allocated companies. There will be guidance given in   workshops on how to deal with missing data.

This task covers awide range of calculations and tasks that will be covered through a variety workshops, it is strongly recommended that you can confidently complete the relevant

workshop tasks before attempting this. There will be video guides for each relevant Excel based workshop to support your independent study time.

What do I need to do to pass?

As with the marking criteria below, to pass you will need to successfully calculate a sufficient

range of the required calculations for your allocated companies. We will be awarding

method marks and not carrying forward error marks where relevant. To be able to do this we will need to be able to understand your calculations, so please label everything so that the marker can understand what each cell represents.

How do I achieve high marks in this assessment?

To achieve a high mark, you will need to successfully complete a full range of calculations. A number of the calculations can be completed using different methods and functions on

Excel, this is acceptable and will still be awarded marks if correctly applied. As above, please ensure that everything is labelled.

How does the learning and teaching relate to the assessment?

This task follows a number of workshops where we will have fully calculated the required elements. It also tests your ability to collect and organise a reliable dataset.

Where possible there will be video guides on how to complete the calculations.

What additional resources may help me complete this assessment?

•    Video guides for each element of this task.

•    Office hours on Blackboard, please emailJohn.Bray@uwe.ac.ukto arrange an alternative time to meet if these times are not convenient.

What do I do if I am concerned about completing this assessment?

UWE Bristol offer a range of Assessment Support Options that you can explore through this link, and bothAcademic SupportandWellbeing Supportare available.

For further information, please see theAcademic Survival Guide.

How do I avoid an Assessment Offence on this module? 2

Use the support above if you feel unable to submit your own work for this module.

This task does present the opportunity to collude, however each student will receive a different pair of companies to use. Therefore, each dataset will require different

adjustments for missing data, which will affect the accuracy of copied formula.

To reduce the risk and opportunity of this happening we will not be releasing Excel solutions to the relevant workshops, but the video guides will be available.

Marks and Feedback

Your assessment will be marked according to the following marking criteria.

You can use these to evaluate your own work before you submit.