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 21–30 of 50 · filtered from 100Clear filters
  1. 035A business park is valued at an 8% cap rate with a 65% loan-to-value covenant. Rates rise and the cap rate moves to 9.5%. What happens to value and LTV, what paydown cures the breach, and what if rents fall too?Project and real asset financeCoreMSCIMumbai · 2015
  2. 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
  3. 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
  4. 040A fast-growing software company gets most of its revenue from five clients. Assess its competitive advantage and barriers to entry, and test whether its growth survives the loss of its largest client.Corporate credit and ratingsCoreMorningstarAnonymous interview candidate in · 2023
  5. 050A cement company needs Rs 1,500 crore for a new plant and can fund it with debt, new equity, or its own cash plus debt. Compare leverage and liquidity under each, and say which mix a lender should prefer.Corporate credit and ratingsCoreMoody'sNew York · 2022
  6. 052A freight company's ratios support a solid rating, but its top client is 45% of revenue, promoters have pledged 30% of their shares, one of six directors is independent and it has changed auditors three times in five years. How do you assess it qualitatively, and how far should that cap the rating?Corporate credit and ratingsCoreMoody'sDallas · 2026
  7. 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
  8. 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
  9. 060A port company has a Rs 1,200 crore bullet loan at 8.5% maturing in two years and operating cash flow of Rs 180 crore. If refinancing costs 11%, what happens to its interest burden and cover, and what should the lender require now?Project and real asset financeCoreProject financeTreasury and ALM
  10. 064A bank buys a Rs 5,000 crore loan portfolio for Rs 5,300 crore. It has CET1 of Rs 6,000 crore on RWA of Rs 50,000 crore, the loans carry a 100% risk weight and the premium is goodwill deducted from CET1. What is the CET1 ratio after the deal, and how much capital does it need to stay at 12%?Capital and regulationCoreBank credit riskRating agency

Company names and figures are illustrative.