Bank risk management. Bank risk management. The question is:
North Wales Bank plc. employs VaR risk management techniques. One of the
bank’s traders has a £10million portfolio of equities. The portfolio’s return is normally
distributed with a one-day standard deviation of 1%.
a) What is the loss in value that has a 5% probability of being exceeded over the
next 4 days? (20 marks)
b) Why is risk management important? Critically evaluate the VaR approach as
a risk management technique.(80 marks)
The guideline(ASB2505) for writing is the lecture notes on this topic. Two supplementary materials are not required to be included in your essay, but you can use them.
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