Financial Risk Management

The aim of the assignment is to critically assess the current market risk for a listed company in the UK, in relation to recent theory and practice.

Company: Tesco PLC

TOPIC

Analyse the share price volatility of a UK listed company with specific reference to your knowledge of Financial Risk Management.

REQUIRED

Question 1. Choose a company which is included in the FTSE-100 index. The historical share price data can be accessed through FAME database from the library online resource.

Question 2. Use the selected company's historical share price to build a GARCH(1,1) model and apply it to forecast future volatility.

Question 3. Provide hedging recommendations according to your forecast.

PRESENTATION:

1. Your report needs to adopt a business report format and has to include a cover page (with module title and code, explicit title and word count), executive summary and table of content.

2. The report should be clearly written in proper English, well-structured (with section and sub-section titles) and perfectly formatted (e.g. all tables/figures should be clear with an explicit title).

3. All sources should be cited and referenced using the Harvard referencing style.

4. The assignment should be produced in Microsoft Word and formatted with a font of Times New Roman 12pt and 1½ line spacing.

5. The coursework is an individual effort with a total word limit of 2,000 words (+/-10%), excluding cover page, table of content, references and appendices.

STRUCTURE OF THE REPORT

The report should be structured as follows:

1. COVER PAGE, which shouldcontain:
(a) A relevant title for thereport.
(b) The word count for the report (excluding the title page, executive summary, table of contents, tables and figures, appendices, and references).

2. TABLE OF CONTENTS, which shouldcontain:
(a) A full list of sections (including executive summary, references, bibliographic materials, and any appendices).
(b) The page number of which each sectionbegins.

3. EXECUTIVE SUMMARY, whichshould:
(a) Highlight the key points and findings of thereport.
(b) Be in the third person and use the present tense, e.g. "This report compares...".

4. INTRODUCTION, whichshould:
(a) Give a succinct explanation of the aims, scope and context of thereport.
(b) Include brief details and definitions for any information necessary for the reader to understand thereport.

5. MAIN BODY, whichshould:
(a) Provide some background to the company you selected.
(b) Construct a GARCH(1,1) model to analyse the share price volatility of the selected company.
(c) Provide hedging recommendations according to your analysis.

6. CONCLUSION, whichshould
(a) Briefly summarise the key findings of this study.
(b) Discuss the limitation of this study, such as, model risk

7. REFERENCES & BIBLIOGRAPHY, whichshould:
(a) The list of references lists the details of any material that have actually been cited in the report (full details of the source should be given using the Westminster Harvard referencingsystem).
(b) The bibliography lists the details of any other sources that you may have referred to when preparing the report but not actually cited in the report itself (full details of the source should be given using the Westminster Harvard referencingsystem).
(c) Details of the Westminster Harvard referencing system.

Attachment:- Financial Risk Management.rar