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 1–5 of 5 · filtered from 100Clear filters
  1. 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
  2. 033A bank's LGD model predicts 40% for secured SME loans. A typical default in the workout data recovers 60% after three years, with collection costs at the end. Compute the realised LGD and judge the model.Model risk and validationCoreModel validationBank credit risk
  3. 071An interest rate risk spreadsheet reports that a 100 basis point rise adds Rs 12 crore to earnings. Review finds a gap bucket with the wrong sign and a rate hard-coded from last year; corrected, the answer is a Rs 9 crore loss. How are such errors found, and what controls do end-user models need?Model risk and validationCoreModel validationTreasury and ALM
  4. 083A bank values Rs 600 crore of illiquid corporate bonds off a proxy curve that independent price verification finds 35 basis points too tight. With duration 4, what is the valuation gap and how big a reserve do you hold?Model risk and validationCoreModel validationBank market risk
  5. 095An expected credit loss model links default rates to GDP growth. A year of GDP falling 7% and a year of 9% growth send its predictions to 9% and 1%, while actual defaults were 4% and 5%. Diagnose the failure and design a management overlay with a governance trail.Model risk and validationCoreModel validationBank credit risk

Company names and figures are illustrative.