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 1–9 of 9 · filtered from 100Clear filters
  1. 018A trust with a portfolio already 70% in Indian equities asks how to allocate a new Rs 100 crore mandate across an equity fund, a credit fund and a multi-strategy fund. Show how the answer changes when you judge the whole portfolio rather than the mandate alone.Investment and portfolio riskHardMSCIAnonymous interview candidate in · 2013
  2. 021You are asked to validate a bank's retail PD scorecard. Its Gini has fallen, its population stability index is high and observed defaults run well above predicted. Interpret each result and decide whether to recalibrate, redevelop or keep it with an overlay.Model risk and validationHardUBSZurich · 2021
  3. 023You are rating an airport's debt. Compute its debt service cover, stress traffic down 30%, and say what else you would examine before assigning a rating.Project and real asset financeHardMoody'sNew York · 2018
  4. 025A retailer reports modest net debt, but it has large lease liabilities, a guarantee of a subsidiary's loan and preference shares. Compute adjusted net debt and adjusted leverage, and compare them with the reported figures.Corporate credit and ratingsHardMoody'sHong Kong · 2018
  5. 043An underfunded pension fund must close its gap in ten years without risking a large loss in any one year. Set the return target and find the equity share that meets it inside the loss limit.Investment and portfolio riskHardMSCIRemote · 2013
  6. 059A bank discovers that a trader hid losses that grew from Rs 50 crore to Rs 900 crore over eighteen months using fictitious offsetting trades, while reporting steady profits. From the incident file, identify the control failures, show how the loss grew and present what should change.Operational risk and loss eventsHardSchrodersNew York · 2020
  7. 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
  8. 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
  9. 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

Company names and figures are illustrative.