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 21 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 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
  4. 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
  5. 074An NBFC has capital of Rs 1,500 crore on loans of Rs 9,000 crore, all at a 100% risk weight, and must hold at least 15%. Loss given default is 50%. Run a reverse stress test: what portfolio default rate takes it to the minimum, and how plausible is that?Stress testing and scenariosHardNBFC credit riskRisk GCC
  6. 084A bank's branches sold insurance-linked savings plans to elderly fixed deposit customers, and 4,000 complaints have arrived. Estimate the remediation cost, add an illustrative penalty, and trace the root cause.Operational risk and loss eventsHardOperational riskBig Four risk advisory
  7. 091An airline can hedge its jet fuel only with crude oil futures. With monthly volatilities of 2.6% and 3.0% and a correlation of 0.9, compute the minimum-variance hedge ratio, the share of risk removed and the basis risk that remains.Hedging a bookHardBank market riskQuant risk
  8. 093A bank holds level 1 and level 2A liquid assets against retail and corporate deposits with different 30-day run-off rates. Compute its liquidity coverage ratio and find the cheapest fix if it falls short.Liquidity risk and ALMHardTreasury and ALMRisk GCC
  9. 094An FX desk is long USD 50 million and short EUR 30 million against the rupee. With daily volatilities of 0.35% and 0.5% and a correlation of 0.6, compute the one-day 99% VaR and each position's component VaR, and decide which to reduce.Market risk limits and VaRHardBank market riskTreasury and ALM
  10. 099A debt fund with Rs 5,000 crore of assets, 15% liquid, faces 30% redemptions in a week and sells illiquid bonds at a 4% discount once cash runs out. Compute the loss borne by the investors who stay, and explain the first-mover problem.Stress testing and scenariosHardAsset manager riskTreasury and ALM

Company names and figures are illustrative.