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 1–6 of 6 · 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. 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
  3. 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
  4. 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
  5. 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
  6. 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

Company names and figures are illustrative.