Management of Financial Institutions – Individual Assignment

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Task 1:

Choose any one of the four major banks (ANZ, CBA, NAB or WBC). Download the latest annual report (and relevant financial accounts) available:

  1. Explain the business model of the bank you have selected.
  1. Analyse the profitability, total assets, liabilities, off balance sheet items as well as the book value and market value of capital of the bank over the past five years.
  1. Explain at least five risks to which the bank is exposed. Using published figures, give some indication of the size (or dimension) of these risks

Task 2:

For the bank you have selected, collect a time series of at least 250 days of its share prices.

  1. Estimate an ARCH(1) and GARCH(1,1) model using the data.
  2. Explain the difference(s) between these two models.
  3. Use the ARCH(1) model you have derived in (a), estimate the standard deviation of the returns for the last day of your time series. Can you draw any conclusion on the likelihood of a bankruptcy for the bank you have selected?

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