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. 038Pass-through certificates on a home loan pool were priced for slow prepayment, and borrowers are prepaying much faster. Show how the weighted average life shortens and what that does to an investor who paid a premium.Structured finance and securitisationCoreRating agencyTreasury and ALM
  2. 075A manufacturer sells Rs 400 crore of trade receivables into a securitisation. Dilution from credit notes and returns averages 4% with a stressed peak of 9%, and defaults run at 2% with a stressed 6%. Size the reserve needed to protect senior investors at the stressed levels.Structured finance and securitisationCoreRating agencyBank credit risk

Company names and figures are illustrative.