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 11–20 of 100
  1. 011You are given a lender's personal loan data by score band. Compute default rates, check that the score ranks risk, and set an approval cut-off from what a good loan earns and a bad loan loses.Retail and portfolio creditCoreJane StreetLondon · 2025
  2. 012A textile company earns only in rupees but has USD 60 million of loans. Stress a 15% fall in the rupee and show what happens to its debt, interest cover and leverage from the lender's side.Stress testing and scenariosCoreBank credit riskRating agency
  3. 013A vehicle loan pool is securitised into a senior tranche, a subordinated tranche and cash collateral. How would you evaluate the senior tranche's credit risk?Structured finance and securitisationCoreMoody'sNew York · 2024
  4. 014A bank's AT1 bonds are written down if its CET1 ratio falls below a trigger. A large fraud loss is announced. Compute the new ratio and explain what the AT1 holders now face.Capital and regulationCoreBank credit riskAsset manager risk
  5. 015A holding company with no operations services its debt from dividends paid by a cement subsidiary and a power subsidiary, and the power subsidiary's loans block dividends above 4 times leverage. How safe is the holding company's debt?Corporate credit and ratingsHardRating agencyBank credit risk
  6. 016A bank lends Rs 500 crore in repo against corporate bonds with a 10% haircut. The bonds fall 15% in a week, the borrower defaults, and selling costs another 5%. What does the bank lose, and how should the haircut have been set?Counterparty risk and CVACoreCounterparty riskTreasury and ALM
  7. 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
  8. 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
  9. 019A bank's branches raise one-year deposits at 6% and its lending unit makes three-year loans at 10%. Using the treasury's transfer pricing curve, split the 4 point margin between deposit gathering, lending and the maturity mismatch.Liquidity risk and ALMWarm upTreasury and ALM
  10. 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

Company names and figures are illustrative.