Group Assignment Assessment Criteria Marks Qualitative Risk Analysis  Discussion of portfolio risks, for example o Market Risk o Interest Rate Risk o Credit Risk o Counterparty Risk o FX Risk o Liquidity Risk  Discussion outside of rigid and fixed risk categories, e.g o Identification of which securities drive which risk factors (e.g. the bonds and FX drive interest rates exposure) o Discussion of how risks are time varying (liquidity risk is the best example) Total /2 /1 /3 Quantitative Risk Analysis - Market Risk  Calculation of VaR/ES o Selection of time period and confidence level - some discussion required [0.5 marks]  Risk Modelling - up to [5.5 marks] will be awarded for attempts at quantifying market risk. Example approaches could include: o Historical simulation approach focusing on portfolio level cashflows o Volatility/Covariance updating additions onto historical simulation approaches o Variance/Covariance models underpinned by normality assumptions o Factor/Regression based approaches that focus on underlying factors which drive portfolio returns o A combination of several models which calculate risk at the security level (e.g. cashflow mapping) AND an appropriate method aggregating these individual metrics at the portfolio level o Marks awarded based on clarity of methodology, marks will be withheld if errors are uncovered - e.g. calculation errors, conceptual errors which disclose lack of understanding.  Discussion/ Justification o [1 Mark] to be awarded for discussion justifying the methods selected as well as identification of any weaknesses in methodology o [1 Mark] to be awarded for any attempts to improve calculations - e.g. stress testing, EVT. Total /6 /1 /1 /8Quantitative Risk Analysis - Other Risks  Focus of this section is primarily credit risk  [2 Marks] to be awarded for the application of any suitable quantitative approach geared towards calculating default risk. o Examples could include Merton's model, or credit ratings and historical default behaviour  [1 Mark] to be awarded for general discussion around methodology or other risks, etc. o Examples include: Critical evaluation of models applied o Discussion of the implications of near zero default rates Total /2 /1 /3 Risk Management Recommendations - Portfolio Risk and Stress Testing  [1 mark] to be awarded for general discussion of risk management strategies targeted at various risk factors. Unless discussion is of exceptional quality, at least 2 risk factors (e.g. interest rate and FX) need to be discussed to attain full marks. Further/ more detailed analysis will attract further marks in the bonus marks section.  [2 marks] will be awarded for the selection of an appropriate hedging security and backtesting of VaR  [1 mark] is to be awarded for general understanding of why leverage is important in the portfolio context  [2 marks] to be awarded for appropriate stress testing and scenario analysis Total /1 /2 /1 /2 /6 Discretionary Bonus Marks (or negative adjustments) - For Innovation and Ingenuity (or mistakes)  Applied to overall assignment after all other marks have been allocated Total /20 Additional Notes