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
- 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.Asset manager riskQuant risk
- 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.Asset manager riskQuant risk
- 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.Asset manager risk
Company names and figures are illustrative.