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 11–19 of 19 · filtered from 100Clear filters
  1. 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
  2. 050A cement company needs Rs 1,500 crore for a new plant and can fund it with debt, new equity, or its own cash plus debt. Compare leverage and liquidity under each, and say which mix a lender should prefer.Corporate credit and ratingsCoreMoody'sNew York · 2022
  3. 052A freight company's ratios support a solid rating, but its top client is 45% of revenue, promoters have pledged 30% of their shares, one of six directors is independent and it has changed auditors three times in five years. How do you assess it qualitatively, and how far should that cap the rating?Corporate credit and ratingsCoreMoody'sDallas · 2026
  4. 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
  5. 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
  6. 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
  7. 077You are lead analyst meeting the CFO of a consumer products company with high fixed costs, a one-time charge and a large debt maturity next year. What do you ask, and what does a 10% revenue fall do to operating profit?Corporate credit and ratingsCoreMoody'sNew York · 2018
  8. 086A housing finance company's mortgage book rolls 3% from current to 30 days, 25% from 30 to 60 and 40% from 60 to 90 days each month. Build a roll-rate delinquency model and say which borrower factors you would add to make it predictive.Retail and portfolio creditCoreNeuberger BermanChicago · 2024
  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.