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. 012A textile company earns only in rupees but has USD 60 million of loans. Stress a 15% fall in the rupee and show what happens to its debt, interest cover and leverage from the lender's side.Stress testing and scenariosCoreBank credit riskRating agency
  2. 087A bank lends to airlines, oil refiners and road transport. An oil price shock of 60% moves each sector's default rate differently. Compute stressed losses against the base case and say what the stress test tells the bank.Stress testing and scenariosCoreBank credit risk

Company names and figures are illustrative.