irinachen / banking-analytics-2020---bond-pricing- Goto Github PK

The purpose of this coursework was to focuse on a critical analysis of the current status of the Basel proposal and on measuring the ability to estimate capital requirements for a set of operations.

Given the the total bond portfolio of a small bank in Ontario and the yield curves for the Canadian Sovereigns for the last 20 years. The bank has been categorized by the OSFI so that it must keep a capital adequacy requirement of 11.5% of its RiskWeighted Assets. With this information, and assuming the bank does not have any other operations:

The following coding use the yield curve at the purchasing date of the bond, calculate:

1. the spread the bank used to obtain the bond price;
2. the current market price of each bond on August 26th, 2020;
3. the total provisions and captial requirement (use foundational approach).