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 1–10 of 40 · filtered from 100Clear filters
  1. 001Kirvanta Bank's exposure to one business group has crept above the large exposure limit. Measure the breach and choose between selling down, taking collateral and raising capital.Capital and regulationCoreBank credit riskRating agency
  2. 005A family office holds half its money in equities and believes it is balanced. Measure how much of its risk each asset actually carries, and redesign the mix so no asset carries more than 60% of the risk.Investment and portfolio riskCoreAsset manager riskQuant risk
  3. 006A payments bank's outgoing payments leave in the morning and its receipts arrive in the afternoon. It ends every day in surplus. Map its intraday position, find the peak shortfall and fix it.Liquidity risk and ALMCoreTreasury and ALMOperational risk
  4. 007A bond-futures basis desk with a 99% VaR of Rs 8 crore loses Rs 14 crore in one day. The VaR model maps cash bonds and futures to the same yield curve. Explain the loss and fix the measurement.Market risk limits and VaRCoreBank market riskModel validation
  5. 008A quant team presents a signal with a backtested Sharpe ratio of 2.5, the best of 200 variants it tried. How much of that is the search, and what figure would you approve it on?Model risk and validationCoreModel validationQuant risk
  6. 009An insurer runs a scenario workshop for a data breach affecting 20 lakh customer records. Build the 1-in-25-year and 1-in-100-year loss estimates and say what the workshop should challenge.Operational risk and loss eventsCoreOperational riskModel validation
  7. 010A 300 MW solar plant sells power at Rs 2.6 a unit and pays Rs 95 crore a year of debt service. Compute its debt service cover in an average year and in a bad-weather P90 year, and judge whether the debt is sized right.Project and real asset financeCoreProject financeRating agency
  8. 012A textile company earns only in rupees but has USD 60 million of loans. Stress a 15% fall in the rupee and show what happens to its debt, interest cover and leverage from the lender's side.Stress testing and scenariosCoreBank credit riskRating agency
  9. 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
  10. 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

Company names and figures are illustrative.