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 11–20 of 30 · filtered from 100Clear filters
  1. 044A bank with concentrated uninsured deposits and underwater held-to-maturity bonds faces a social-media-driven run. Compute the funding hole, the loss realised selling bonds to fill it, and what the bank should have measured beforehand.Liquidity risk and ALMHardTreasury and ALMBank market risk
  2. 045A bank's fraud model flags 2% of transactions and catches 70% of fraud; a challenger flags half as many and catches 60%. Given the cost of a missed fraud and of reviewing an alert, which model should the bank run?Model risk and validationHardModel validationOperational risk
  3. 047A toll road with a 15-year concession is sized for debt at 1.3 times cover on its base case. How much can it borrow, and what happens to cover if traffic comes in 15% below the forecast?Project and real asset financeHardProject financeBank credit risk
  4. 048A bank is pricing an unsecured personal loan with a 4% default probability and 70% loss given default. Build the minimum rate from its costs, including capital, and judge a proposal to undercut a competitor's 13% offer.Retail and portfolio creditHardBank credit riskRisk GCC
  5. 049Run a one-year recession scenario on a bank's corporate and retail books. Compute stressed credit losses and the post-stress CET1 ratio, and say what the static result hides.Stress testing and scenariosHardBank credit riskRisk GCC
  6. 051A bank plans to grow its risk-weighted assets by 18% a year for three years while earning a 13% return on equity and paying out a quarter of it. Project its CET1 ratio and the capital it must raise.Capital and regulationHardBank credit riskRisk GCC
  7. 056A bank's repricing gaps are plus Rs 1,500 crore at 0 to 3 months, minus Rs 2,000 crore at 3 to 6 months and minus Rs 1,200 crore at 6 to 12 months. Estimate the one-year change in net interest income from a 100 basis point rise, and propose a hedge.Liquidity risk and ALMHardTreasury and ALMBank market risk
  8. 059A bank discovers that a trader hid losses that grew from Rs 50 crore to Rs 900 crore over eighteen months using fictitious offsetting trades, while reporting steady profits. From the incident file, identify the control failures, show how the loss grew and present what should change.Operational risk and loss eventsHardSchrodersNew York · 2020
  9. 061Using a one-year rating transition matrix, compute the two-year default probability of a grade B borrower and explain why it is more than twice the one-year figure.Retail and portfolio creditHardBank credit riskQuant risk
  10. 066A power company that earns only in rupees has a cross-currency swap with your bank in which it pays dollars and receives rupees on USD 100 million, and also owes USD 150 million of loans. The dollar rises 20% against the rupee. Show how your exposure and the client's default risk rise together, and propose limits and mitigants.Counterparty risk and CVAHardCounterparty risk

Company names and figures are illustrative.