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 1–2 of 2 · filtered from 100Clear filters
  1. 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
  2. 032A desk holds a small-cap position worth eight days of trading volume. Its one-day VaR fits the limit, but can it actually get out? Rescale the risk to the exit horizon, add the exit cost and test the limit.Market risk limits and VaRCoreAsset manager riskBank market risk

Company names and figures are illustrative.