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 40 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 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
  4. 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
  5. 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
  6. 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
  7. 036Delinquency on three successive vintages of two-wheeler loans is rising while disbursements grow 40% and the approval rate climbs. Separate seasoning from underwriting drift and say what the credit committee should do.Retail and portfolio creditCoreNBFC credit risk
  8. 038Pass-through certificates on a home loan pool were priced for slow prepayment, and borrowers are prepaying much faster. Show how the weighted average life shortens and what that does to an investor who paid a premium.Structured finance and securitisationCoreRating agencyTreasury and ALM
  9. 053You value your derivatives with a client at Rs 37 crore owed to you; the client says Rs 25 crore. The collateral agreement has a Rs 10 crore threshold and no collateral is held. What do you call, what is disputed, and what happens if the client fails to post?Counterparty risk and CVACoreCounterparty riskOperational risk
  10. 054An infrastructure company has Rs 1,000 crore of floating rate loans and EBITDA of Rs 180 crore. A swap would fix its benchmark at 7.2% when the benchmark is 7%. Compare interest cost and cover, hedged and unhedged, if rates fall to 5% or rise to 9%.Hedging a bookCoreBank credit riskTreasury and ALM

Company names and figures are illustrative.