Bank Risk Management: VaR, IFRS 9 and ALM

Risk management for a bank. The work sets exposure limits for two FX desks (ruble and sterling) with parametric and historical methods, analyzes how the accounting treatment of a bond changes across IFRS 9 portfolios through a series of market events, and prices the sale of a non-performing loan portfolio to a fund. Credit quality metrics, a bank balance sheet and an analysis of its interest rate risk complete the work.

Market and credit risk measurement, asset-liability management, banking regulation and accounting.

Excel, FX data from the Pacific Exchange Rate Service, ECB data.

Parametric and historical VaR, expected and unexpected loss, 12-month and lifetime ECL (IFRS 9), NPE valuation with leverage and target ROE, repricing gap and duration gap.