Assessing Contagion Risk In An Investment Portfolio Assignment
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Assessing Contagion Risk In An Investment Portfolio Assignment
Interconnected Risk Exercise — Assess contagion risk in an investment portfolio
Please read the following and see attachment for the excel
Description: You are the same risk analyst in a wealth management company who helped one of the wealth managers win the account of the Vanderbilt Family Office. Your liquidity analysis of the FO’s existing and proposed investment portfolios was favorably received and the proposed portfolio changes were made.
Now the FO’s Administrative Manager has asked you to stress test the new portfolio in a Global Markets Correction scenario, highlighting the positions which are vulnerable to contagion between more than one risk category.
Instruction: Study the price changes of the investments listed in Attachment A between 31 March 2019 and the 30 June 2019 stress test.
Based on your knowledge of each type of investment’s market, credit and liquidity risk characteristics, enter your rationale for the existence and magnitude, or non-existence, of contagion risk against each position in the shaded Contagion Risk
Assessment column. Then, answer the following questions, giving brief reasons for each of your answers.
1.Which fixed income position(s) show the most contagion risk in the stress test?
2.Which equity position(s) show the most contagion risk in the stress test?
3.Which alternative investment* position(s) show the most contagion risk in the stress test?
(* = Commercial Real Estate and Hedge Funds)
RUBRIC
Excellent Quality
95-100%
Introduction 45-41 points
The background and significance of the problem and a clear statement of the research purpose is provided. The search history is mentioned.
Literature Support
91-84 points
The background and significance of the problem and a clear statement of the research purpose is provided. The search history is mentioned.
Methodology
58-53 points
Content is well-organized with headings for each slide and bulleted lists to group related material as needed. Use of font, color, graphics, effects, etc. to enhance readability and presentation content is excellent. Length requirements of 10 slides/pages or less is met.
Average Score
50-85%
40-38 points
More depth/detail for the background and significance is needed, or the research detail is not clear. No search history information is provided.
83-76 points
Review of relevant theoretical literature is evident, but there is little integration of studies into concepts related to problem. Review is partially focused and organized. Supporting and opposing research are included. Summary of information presented is included. Conclusion may not contain a biblical integration.
52-49 points
Content is somewhat organized, but no structure is apparent. The use of font, color, graphics, effects, etc. is occasionally detracting to the presentation content. Length requirements may not be met.
Poor Quality
0-45%
37-1 points
The background and/or significance are missing. No search history information is provided.
75-1 points
Review of relevant theoretical literature is evident, but there is no integration of studies into concepts related to problem. Review is partially focused and organized. Supporting and opposing research are not included in the summary of information presented. Conclusion does not contain a biblical integration.
48-1 points
There is no clear or logical organizational structure. No logical sequence is apparent. The use of font, color, graphics, effects etc. is often detracting to the presentation content. Length requirements may not be met
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