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 1–4 of 4 · filtered from 100Clear filters
  1. 004A home finance company hedged its fixed-rate mortgage book with payer swaps of matching DV01. Rates then fall 150 basis points and prepayments surge. Why does the hedge lose money, and how much?Hedging a bookHardTreasury and ALMBank market risk
  2. 017A bank has sold one-year index puts to a client and delta-hedged them. The index falls 5% and the put delta moves from minus 0.35 to minus 0.48. What hedge trade does the desk make, what does the move cost, and why does this hedge bleed in falling markets?Hedging a bookHardBank market riskCounterparty risk
  3. 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
  4. 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

Company names and figures are illustrative.