Reference no: EM132298605 , Length: word count:3000

Bank Regulation Assignment -

Need STATA Analysis - 3000 words report.

COURSEWORK - ELEMENT (BASEL ACCORDS)

1. The purpose of this coursework is for you to empirically apply banking regulations as set forth in Basel I, II and III Accords to a specific Too Big To Fail (TBTF) bank as listed in the 2018 G-SIBs. It is important that you use a bank that has a better chance to obtain banking data if it is incorporated in the country with excellent data integrity. You are more than welcome to select a bank of your own choosing for as long as it is categorised in the 2018 Too Big To Fail list.

You are to select two annual time periods, one in 2018 and another time period somewhere in between the implementation of Basel I and Basel II Accords. You will then obtain the audited financial statements - specify the Auditors for the two periods under study (usually from the bank's website). The task that you need to do involves the following:

(a) Demonstrate in writing (both calculations and interpretations) how you would determine the minimum capital requirements under Basel I (and the 1996 Market Risk Amendment), II (Pillar (I)) and III (Pillar (I)) for your selected bank.

For this you are required to show carefully the calculations of the total risk weighted assets to include both on - and off - balance sheet items (wherever applicable). You may need to do some netting if appropriate. If certain elements are missing from the financial statements, you can usually find them in the footnotes of the statements. You are allowed to make rational and reasonable assumptions to a degree if certain figures are not available (e.g. benchmarking with other TBTF banks). Compare the two time periods and explain.

For Basel III, the following elements must also be present:

• Capital conservation buffer;
• Counter cyclical buffer;
• Leverage ratio;
• Liquidity risk ratios: Liquidity coverage ratio and Net stable funding ratio.
• GSIBs adjustment for your chosen bank.

Use the standardised approach rather than the IRB approaches since it is easier, but you are more than welcome to use Foundation IRB or Advanced IRB if you so choose.

NB: Don't expect that the results will match exactly with the bank's results and that is fine. I only request that you demonstrate how you arrived at the final figures using what you have learned in this module.

(b) For Basel II and III (Pillars II and III), you are ONLY required to provide qualitative and very general assessments as to how they are applicable to your chosen bank and again, as before, you are to compare between the two time periods. You are allowed to make rational and reasonable assumptions if certain figures are not available (e.g. benchmarking with other TBTF banks).

(c) Introduction, conclusion and presentation (including the proper use of Harvard Referencing, literature and quality of references). You should have some literature discussion vis-a-vis Basel Accords.

Coursework Guidelines -

The word count excludes tables, charts, graphs, formulas, appendices and reference list. In sum, the word count refers only to the narratives.

Label all tables, charts, graphs, formulas accordingly and cite the appropriate sources when applicable. Colour output is allowed, but black and white format is sufficient.