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. 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
  2. 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.