Risk Management case studies, worked step by step

Cases
100
Traced to a firm
19
Topics
13
Hard
30
Topic
All topicsCapital and regulation8Corporate credit and ratings10Counterparty risk and CVA7Hedging a book8Investment and portfolio risk8Liquidity risk and ALM8Market risk limits and VaR7Model risk and validation8Operational risk and loss events8Project and real asset finance7Retail and portfolio credit8Stress testing and scenarios7Structured finance and securitisation6
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 1–10 of 20 · filtered from 100Clear filters
  1. 002A trader with Rs 365 crore of sales asks the bank to renew a Rs 70 crore working capital limit. Work out how much working capital the business actually needs and decide whether the limit is adequate.Corporate credit and ratingsWarm upBank credit riskNBFC credit risk
  2. 003An exporter wants a one-year forward to sell USD 25 million, and its credit line with the bank is Rs 10 crore. The forward is worth nothing today. Does it fit the line, and if not, how would you make it fit?Counterparty risk and CVAWarm upCounterparty riskBank credit risk
  3. 019A bank's branches raise one-year deposits at 6% and its lending unit makes three-year loans at 10%. Using the treasury's transfer pricing curve, split the 4 point margin between deposit gathering, lending and the maturity mismatch.Liquidity risk and ALMWarm upTreasury and ALM
  4. 022A company's finance team wires Rs 18 crore to a fraudster after an email that appeared to come from its CEO, and the bank recovers 30%. What is the loss, and which controls would each have stopped it?Operational risk and loss eventsWarm upOperational risk
  5. 024A bank has 2 lakh credit cards with Rs 1 lakh limits, each 40% used on average. Compute exposure at default and expected loss for the portfolio, allowing for borrowers drawing more before they default.Retail and portfolio creditWarm upBank credit risk
  6. 028A bank pays the rupee leg of an FX trade in the morning and the dollars are due in the evening. The counterparty is shut by its regulator in the afternoon. What was the exposure, what is the risk called, and what would have removed it?Counterparty risk and CVAWarm upCounterparty riskOperational risk
  7. 037A small cooperative bank holds a large government bond portfolio as held-to-maturity. Yields rise 200 basis points. How big is the hidden loss against capital, and why does the accounting label not make it go away?Stress testing and scenariosWarm upTreasury and ALMBank market risk
  8. 039A bank's risk-based capital ratio looks comfortable. Compute its leverage ratio from on-balance-sheet, derivative and off-balance-sheet exposure, and explain why the measure ignores risk weights on purpose.Capital and regulationWarm upBank credit risk
  9. 042An asset manager wants to hedge a high-beta equity portfolio with index futures. Size the hedge, then show what happens when the index falls 8% and the portfolio falls 12%.Hedging a bookWarm upAsset manager risk
  10. 046A bank's outsourced core banking platform goes down for nine hours on salary day. Compute the direct loss, explain why it understates the damage, and set out the outsourcing controls the bank should have had.Operational risk and loss eventsWarm upOperational riskTreasury and ALM

Company names and figures are illustrative.