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 1–2 of 2 · filtered from 100Clear filters
  1. 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
  2. 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

Company names and figures are illustrative.