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 21–30 of 30 · filtered from 100Clear filters
  1. 067An exporter expected USD 40 million of receipts over six months and hedged only 25% at Rs 84 because its treasurer expected the rupee to weaken. The rupee strengthened to Rs 80. Compute the shortfall, then analyse the failure: the policy, the authority, and what a collar with a Rs 82 floor would have saved.Hedging a bookHardSchrodersNew York · 2021
  2. 070A rates desk has 500 days of P&L with a daily standard deviation of Rs 3.5 crore; its ten worst losses are Rs 21, 17, 15, 12, 11, 10, 9.5, 9, 8.6 and 8.2 crore. Compute 99% VaR by the parametric and historical methods and the 99% expected shortfall, then decide which number the desk should report.Market risk limits and VaRHardUBSZurich · 2021
  3. 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
  4. 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
  5. 090A cash-rich technology company announces its first annual dividend and a buyback funded with new debt. Compute net cash and leverage after the first year, and assess what the change in financial policy means for its rating.Corporate credit and ratingsHardS&P GlobalChicago · 2022
  6. 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
  7. 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
  8. 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
  9. 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
  10. 100A trust holds five equal loans, each with a 10% default probability and no recovery, and its senior tranche is hit only if three or more default. Compute the senior loss probability with independent and with perfectly correlated defaults, and say which tranche gains from correlation.Structured finance and securitisationHardRating agencyQuant risk

Company names and figures are illustrative.