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 31–40 of 50 · filtered from 100Clear filters
  1. 065A pharma company's loan caps net debt at 3.5 times EBITDA. Net debt is Rs 1,200 crore and EBITDA has fallen from Rs 400 crore to Rs 300 crore after a regulator's warning letter on a plant. Compute the breach and the equity cure, and decide as lender between a waiver, a reset and acceleration.Corporate credit and ratingsCoreBank credit risk
  2. 068A portfolio has a market beta of 0.9 and a size factor exposure of 0.6. In a month when the market falls 10% and small caps trail large caps by a further 10%, estimate its return, split it by factor, and propose how to cap the size exposure.Investment and portfolio riskCoreAsset manager riskQuant risk
  3. 069A dealer's derivatives carry rating triggers requiring Rs 300 crore of extra collateral on a one-notch downgrade and a further Rs 500 crore on a second notch. It holds Rs 900 crore of unencumbered liquid assets and expects Rs 250 crore of stressed margin outflows. What is the headroom after a two-notch downgrade, and what limits would you set?Liquidity risk and ALMCoreTreasury and ALMCounterparty risk
  4. 071An interest rate risk spreadsheet reports that a 100 basis point rise adds Rs 12 crore to earnings. Review finds a gap bucket with the wrong sign and a rate hard-coded from last year; corrected, the answer is a Rs 9 crore loss. How are such errors found, and what controls do end-user models need?Model risk and validationCoreModel validationTreasury and ALM
  5. 072A bank's unreconciled nostro items older than 30 days have risen from 12 to 45 in three months and now total Rs 60 crore. What does the trend signal, what amber and red thresholds would you set, and who must be told?Operational risk and loss eventsCoreOperational riskTreasury and ALM
  6. 073A microfinance lender has Rs 800 crore in stage 1 at a 2% twelve-month PD, Rs 150 crore in stage 2 at an 18% lifetime PD and Rs 50 crore in stage 3, all at 65% LGD. Compute the expected credit loss provision and the extra charge if Rs 100 crore moves from stage 1 to stage 2.Retail and portfolio creditCoreBank credit riskNBFC credit risk
  7. 075A manufacturer sells Rs 400 crore of trade receivables into a securitisation. Dilution from credit notes and returns averages 4% with a stressed peak of 9%, and defaults run at 2% with a stressed 6%. Size the reserve needed to protect senior investors at the stressed levels.Structured finance and securitisationCoreRating agencyBank credit risk
  8. 076A bank with Rs 2,500 crore of CET1 holds corporate loans, home loans and government bonds at different risk weights. Compute its RWA and CET1 ratio, then show what moving Rs 5,000 crore from corporate to home loans does.Capital and regulationCoreBank credit riskRisk GCC
  9. 077You are lead analyst meeting the CFO of a consumer products company with high fixed costs, a one-time charge and a large debt maturity next year. What do you ask, and what does a 10% revenue fall do to operating profit?Corporate credit and ratingsCoreMoody'sNew York · 2018
  10. 078A clearing member defaults with a Rs 300 crore loss on its positions. Run the clearing house's default waterfall and show who pays what.Counterparty risk and CVACoreCounterparty riskBank market risk

Company names and figures are illustrative.