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 1–10 of 30 · filtered from 100Clear filters
  1. 004A home finance company hedged its fixed-rate mortgage book with payer swaps of matching DV01. Rates then fall 150 basis points and prepayments surge. Why does the hedge lose money, and how much?Hedging a bookHardTreasury and ALMBank market risk
  2. 015A holding company with no operations services its debt from dividends paid by a cement subsidiary and a power subsidiary, and the power subsidiary's loans block dividends above 4 times leverage. How safe is the holding company's debt?Corporate credit and ratingsHardRating agencyBank credit risk
  3. 017A bank has sold one-year index puts to a client and delta-hedged them. The index falls 5% and the put delta moves from minus 0.35 to minus 0.48. What hedge trade does the desk make, what does the move cost, and why does this hedge bleed in falling markets?Hedging a bookHardBank market riskCounterparty risk
  4. 018A trust with a portfolio already 70% in Indian equities asks how to allocate a new Rs 100 crore mandate across an equity fund, a credit fund and a multi-strategy fund. Show how the answer changes when you judge the whole portfolio rather than the mandate alone.Investment and portfolio riskHardMSCIAnonymous interview candidate in · 2013
  5. 020A bank has a Rs 100 crore firm-wide VaR budget across rates, credit and equities desks whose standalone VaRs add to Rs 120 crore. Compute the diversified VaR and allocate the budget by component VaR.Market risk limits and VaRHardBank market riskRisk GCC
  6. 021You are asked to validate a bank's retail PD scorecard. Its Gini has fallen, its population stability index is high and observed defaults run well above predicted. Interpret each result and decide whether to recalibrate, redevelop or keep it with an overlay.Model risk and validationHardUBSZurich · 2021
  7. 023You are rating an airport's debt. Compute its debt service cover, stress traffic down 30%, and say what else you would examine before assigning a rating.Project and real asset financeHardMoody'sNew York · 2018
  8. 025A retailer reports modest net debt, but it has large lease liabilities, a guarantee of a subsidiary's loan and preference shares. Compute adjusted net debt and adjusted leverage, and compare them with the reported figures.Corporate credit and ratingsHardMoody'sHong Kong · 2018
  9. 041A bank is quoting a five-year cross-currency swap to a steel company. Given the expected exposure profile, default probability and recovery, compute the CVA and decide whether a 15 basis point upfront credit charge covers it.Counterparty risk and CVAHardCounterparty riskQuant risk
  10. 043An underfunded pension fund must close its gap in ten years without risking a large loss in any one year. Set the return target and find the equity share that meets it inside the loss limit.Investment and portfolio riskHardMSCIRemote · 2013

Company names and figures are illustrative.