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 11–20 of 20 · filtered from 100Clear filters
  1. 055A credit fund has 9% of its Rs 2,000 crore portfolio in one issuer that has just defaulted, with expected recovery of 30%. What is the NAV hit, how would a segregated portfolio ring-fence the bad bond, and what does it mean for investors who redeem next week?Investment and portfolio riskWarm upAsset manager riskRating agency
  2. 057A desk's VaR has risen from Rs 12 crore to Rs 18 crore against a Rs 15 crore limit, with no change in positions, because market volatility jumped. Do you grant a temporary limit increase or cut positions, and how big a cut gets it back inside?Market risk limits and VaRWarm upBank market risk
  3. 058A bank has 40 models: 8 complex capital and pricing models, 20 moderate scoring and reporting models and 12 simple tools. Tier them, set validation cycles and estimate the validation team's annual workload.Model risk and validationWarm upModel validationRisk GCC
  4. 062An insurer holds a Rs 500 crore equity portfolio with a beta of 1.1 against solvency headroom of Rs 150 crore. Apply a 25% market fall, decide whether the headroom survives, and say what else the scenario should include.Stress testing and scenariosWarm upAsset manager risk
  5. 063A securitised personal loan pool yields 14% a year. Investors are paid 8.5%, servicing costs 1% and expected losses are 3%. What is the excess spread, how does it protect investors, and what happens if losses rise to 5%?Structured finance and securitisationWarm upRating agency
  6. 079A sugar mill has sold 60% of its output forward, and the spot price then falls 20%. Compute revenue with and without the hedge, and explain what the lender gains from the hedging policy.Hedging a bookWarm upBank credit riskNBFC credit risk
  7. 080A rupee fund's US equities return 8% in dollars while the rupee falls 3%. What is the rupee return, and what would it have been if the dollar exposure had been hedged with a 4% forward premium?Investment and portfolio riskWarm upAsset manager risk
  8. 082A treasury holds Rs 800 crore of 10-year government bonds with modified duration 7.1 against a DV01 limit of Rs 25 lakh. Measure the breach and size an interest rate swap that brings the book inside the limit.Market risk limits and VaRWarm upTreasury and ALMBank market risk
  9. 085A hospital project funded 70% debt and 30% equity overruns its Rs 800 crore budget by 20%. What is the funding gap, who covers it if the sponsor signed completion support, and what should the lender have asked for at the start?Project and real asset financeWarm upProject financeBank credit risk
  10. 088A securitisation trust collects Rs 90 crore this quarter and owes senior interest and principal, then junior interest and principal, in that order. Run the waterfall and show who is short.Structured finance and securitisationWarm upRating agency

Company names and figures are illustrative.