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
Showing 1–3 of 3 · filtered from 100Clear filters
- 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.Treasury and ALMBank market risk
- 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.Treasury and ALMBank market risk
- 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.Treasury and ALMRisk GCC
Company names and figures are illustrative.