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. 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
  2. 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

Company names and figures are illustrative.