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. 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. 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

Company names and figures are illustrative.