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 41–50 of 50 · filtered from 100Clear filters
  1. 081A small finance bank's maturity ladder shows negative gaps of Rs 300 crore and Rs 250 crore in the first two weeks, against a Rs 400 crore tolerance on the cumulative negative gap within 14 days. Find the breach and propose fixes.Liquidity risk and ALMCoreTreasury and ALM
  2. 083A bank values Rs 600 crore of illiquid corporate bonds off a proxy curve that independent price verification finds 35 basis points too tight. With duration 4, what is the valuation gap and how big a reserve do you hold?Model risk and validationCoreModel validationBank market risk
  3. 086A housing finance company's mortgage book rolls 3% from current to 30 days, 25% from 30 to 60 and 40% from 60 to 90 days each month. Build a roll-rate delinquency model and say which borrower factors you would add to make it predictive.Retail and portfolio creditCoreNeuberger BermanChicago · 2024
  4. 087A bank lends to airlines, oil refiners and road transport. An oil price shock of 60% moves each sector's default rate differently. Compute stressed losses against the base case and say what the stress test tells the bank.Stress testing and scenariosCoreBank credit risk
  5. 089A bank's corporate, retail and SME businesses each report income, expected loss and economic capital. With a 12% hurdle, compute RAROC by business and decide which one destroys value.Capital and regulationCoreBank credit riskRisk GCC
  6. 092A fund of funds must drop one of two managers: one returned 14% with 20% volatility and a 32% drawdown, the other 11% with 10% volatility and a 12% drawdown. Compare them on risk-adjusted measures and decide which to keep.Investment and portfolio riskCoreAsset manager risk
  7. 095An expected credit loss model links default rates to GDP growth. A year of GDP falling 7% and a year of 9% growth send its predictions to 9% and 1%, while actual defaults were 4% and 5%. Diagnose the failure and design a management overlay with a governance trail.Model risk and validationCoreModel validationBank credit risk
  8. 096Ransomware takes a lender's systems down for three days. It normally collects Rs 40 crore a day, pays out Rs 35 crore a day and holds Rs 60 crore of cash. Compute the liquidity squeeze and set out the recovery and resilience measures that matter most.Operational risk and loss eventsCoreOperational riskNBFC credit risk
  9. 097A hydro project sells all its power to one state distribution company, which now pays 240 days after billing on Rs 600 crore a year. With Rs 280 crore of annual debt service and a six-month reserve, how much cash is trapped, how long does the reserve last, and what can the lender do?Project and real asset financeCoreProject financeCounterparty risk
  10. 098A microfinance lender has 35% of its Rs 2,000 crore book in one state hit by floods. If portfolio at risk there rises to 20% and half of it is lost, estimate the credit cost and its hit on Rs 400 crore of net worth.Retail and portfolio creditCoreNBFC credit risk

Company names and figures are illustrative.