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. 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
  2. 045A bank's fraud model flags 2% of transactions and catches 70% of fraud; a challenger flags half as many and catches 60%. Given the cost of a missed fraud and of reviewing an alert, which model should the bank run?Model risk and validationHardModel validationOperational risk

Company names and figures are illustrative.