{"id":12962,"date":"2023-04-09T12:53:45","date_gmt":"2023-04-09T12:53:45","guid":{"rendered":"https:\/\/www.goodacademic.com\/blog\/questions\/consider-a-1-million-investment-in-the-common-shares-of-the-bank-estimate-annual-1-parametric-var-and-assess-the-market-risk-of-the-bank-analyse-the-impact-of-esg-factors-on-risk-management-of-the\/"},"modified":"2023-04-09T12:53:45","modified_gmt":"2023-04-09T12:53:45","slug":"consider-a-1-million-investment-in-the-common-shares-of-the-bank-estimate-annual-1-parametric-var-and-assess-the-market-risk-of-the-bank-analyse-the-impact-of-esg-factors-on-risk-management-of-the","status":"publish","type":"questions","link":"https:\/\/www.goodacademic.com\/blog\/questions\/consider-a-1-million-investment-in-the-common-shares-of-the-bank-estimate-annual-1-parametric-var-and-assess-the-market-risk-of-the-bank-analyse-the-impact-of-esg-factors-on-risk-management-of-the\/","title":{"rendered":"Consider a \u00a31 million investment in the common shares of the bank. Estimate annual 1% parametric VaR, and assess the market risk of the bank. Analyse the impact of ESG factors on risk management of the bank with reference to your knowledge of Bank RM"},"content":{"rendered":"

1.Choose a bank that is listed on a stock exchange. The market data and accounting reports are available in Bloomberg, Orbis, company website, or other sources such as Yahoo <\/span>Finance.<\/span><\/p>\n

2. In estimation of parametric VaR, you should select a proper lookback period to estimate <\/span>parameters such as mean and variance. For example, you might use last three years for <\/span>estimating the variance of daily stock returns; but, for estimating the variance of monthly <\/span>stock returns, you would choose a longer lookback period. Assume the risk factors (e.g., <\/span>stock returns) are distributed normally. After estimation, you should assess the risk of <\/span>investing in the bank\u2019s shares.<\/span><\/div>\n
3. Examine the impact of ESG factors on bank risk management. Effective years of
\n<\/span><\/div>\n
mandatory ESG disclosure around the world can be found in the study of Krueger et al. <\/span>(2021)<\/span><\/div>\n
4.Evidence is expected of wide background of reading and research, with which above average grades are likely. <\/span><\/div>\n
5.All references must be acknowledged<\/span><\/div>\n","protected":false},"excerpt":{"rendered":"

1.Choose a bank that is listed on a stock exchange. The market data and accounting reports are available in Bloomberg, Orbis, company website, or other sources such as Yahoo Finance. 2. In estimation of parametric VaR, you should select a proper lookback period to estimate parameters such as mean and variance. For example, you might use last three […]<\/p>\n","protected":false},"author":3,"featured_media":0,"comment_status":"open","ping_status":"closed","template":"","meta":[],"disciplines":[706],"paper_types":[],"tagged":[],"aioseo_notices":[],"_links":{"self":[{"href":"https:\/\/www.goodacademic.com\/blog\/wp-json\/wp\/v2\/questions\/12962"}],"collection":[{"href":"https:\/\/www.goodacademic.com\/blog\/wp-json\/wp\/v2\/questions"}],"about":[{"href":"https:\/\/www.goodacademic.com\/blog\/wp-json\/wp\/v2\/types\/questions"}],"author":[{"embeddable":true,"href":"https:\/\/www.goodacademic.com\/blog\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/www.goodacademic.com\/blog\/wp-json\/wp\/v2\/comments?post=12962"}],"version-history":[{"count":0,"href":"https:\/\/www.goodacademic.com\/blog\/wp-json\/wp\/v2\/questions\/12962\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.goodacademic.com\/blog\/wp-json\/wp\/v2\/media?parent=12962"}],"wp:term":[{"taxonomy":"disciplines","embeddable":true,"href":"https:\/\/www.goodacademic.com\/blog\/wp-json\/wp\/v2\/disciplines?post=12962"},{"taxonomy":"paper_types","embeddable":true,"href":"https:\/\/www.goodacademic.com\/blog\/wp-json\/wp\/v2\/paper_types?post=12962"},{"taxonomy":"tagged","embeddable":true,"href":"https:\/\/www.goodacademic.com\/blog\/wp-json\/wp\/v2\/tagged?post=12962"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}