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. 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
  2. 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

Company names and figures are illustrative.