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 21–30 of 100
  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. 022A company's finance team wires Rs 18 crore to a fraudster after an email that appeared to come from its CEO, and the bank recovers 30%. What is the loss, and which controls would each have stopped it?Operational risk and loss eventsWarm upOperational risk
  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. 024A bank has 2 lakh credit cards with Rs 1 lakh limits, each 40% used on average. Compute exposure at default and expected loss for the portfolio, allowing for borrowers drawing more before they default.Retail and portfolio creditWarm upBank credit risk
  5. 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
  6. 026A bank's internal models produce far lower risk-weighted assets than the standardised approach. Apply an output floor, recompute the CET1 ratio and explain what the floor protects against.Capital and regulationCoreBank credit riskModel validation
  7. 027A mid-sized manufacturer shows healthy EBITDA but heavy capex and a working capital build. Compute leverage, interest cover and free cash flow, and give a credit view.Corporate credit and ratingsCoreS&P GlobalChicago · 2022
  8. 028A bank pays the rupee leg of an FX trade in the morning and the dollars are due in the evening. The counterparty is shut by its regulator in the afternoon. What was the exposure, what is the risk called, and what would have removed it?Counterparty risk and CVAWarm upCounterparty riskOperational risk
  9. 029A company hedged forecast dollar imports with forwards, but the imports came in well below forecast and the rupee strengthened. What did the excess cover cost, and why is it a speculative position?Hedging a bookCoreOperational riskBank market risk
  10. 030An enhanced index fund with a 2% tracking error budget wants three stock overweights and a sector tilt. Compute the tracking error and check it against the budget.Investment and portfolio riskCoreMSCIMonterrey · 2013

Company names and figures are illustrative.