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 1–2 of 2 · filtered from 100Clear filters
  1. 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
  2. 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

Company names and figures are illustrative.