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 50 · filtered from 100Clear filters
  1. 014A bank's AT1 bonds are written down if its CET1 ratio falls below a trigger. A large fraud loss is announced. Compute the new ratio and explain what the AT1 holders now face.Capital and regulationCoreBank credit riskAsset manager risk
  2. 016A bank lends Rs 500 crore in repo against corporate bonds with a 10% haircut. The bonds fall 15% in a week, the borrower defaults, and selling costs another 5%. What does the bank lose, and how should the haircut have been set?Counterparty risk and CVACoreCounterparty riskTreasury and ALM
  3. 026A bank's internal models produce far lower risk-weighted assets than the standardised approach. Apply an output floor, recompute the CET1 ratio and explain what the floor protects against.Capital and regulationCoreBank credit riskModel validation
  4. 027A mid-sized manufacturer shows healthy EBITDA but heavy capex and a working capital build. Compute leverage, interest cover and free cash flow, and give a credit view.Corporate credit and ratingsCoreS&P GlobalChicago · 2022
  5. 029A company hedged forecast dollar imports with forwards, but the imports came in well below forecast and the rupee strengthened. What did the excess cover cost, and why is it a speculative position?Hedging a bookCoreOperational riskBank market risk
  6. 030An enhanced index fund with a 2% tracking error budget wants three stock overweights and a sector tilt. Compute the tracking error and check it against the budget.Investment and portfolio riskCoreMSCIMonterrey · 2013
  7. 031A finance company funds three-year loans partly with three-month commercial paper. The market freezes just as a large tranche matures. Size the funding gap and rank the options.Liquidity risk and ALMCoreNBFC credit riskTreasury and ALM
  8. 032A desk holds a small-cap position worth eight days of trading volume. Its one-day VaR fits the limit, but can it actually get out? Rescale the risk to the exit horizon, add the exit cost and test the limit.Market risk limits and VaRCoreAsset manager riskBank market risk
  9. 033A bank's LGD model predicts 40% for secured SME loans. A typical default in the workout data recovers 60% after three years, with collection costs at the end. Compute the realised LGD and judge the model.Model risk and validationCoreModel validationBank credit risk
  10. 034A dealer keys a sell order for 10 lakh shares instead of 1,000. Half fills before it is cancelled and the firm buys the shares back higher. Compute the loss and name the controls that would have blocked the order.Operational risk and loss eventsCoreOperational riskBank market risk

Company names and figures are illustrative.