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
Showing 1–3 of 3 · filtered from 100Clear filters
- 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 riskTreasury and ALM
- 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 riskOperational risk
- 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 riskBank market risk
Company names and figures are illustrative.