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 31–40 of 100
  1. 031A finance company funds three-year loans partly with three-month commercial paper. The market freezes just as a large tranche matures. Size the funding gap and rank the options.Liquidity risk and ALMCoreNBFC credit riskTreasury and ALM
  2. 032A desk holds a small-cap position worth eight days of trading volume. Its one-day VaR fits the limit, but can it actually get out? Rescale the risk to the exit horizon, add the exit cost and test the limit.Market risk limits and VaRCoreAsset manager riskBank market risk
  3. 033A bank's LGD model predicts 40% for secured SME loans. A typical default in the workout data recovers 60% after three years, with collection costs at the end. Compute the realised LGD and judge the model.Model risk and validationCoreModel validationBank credit risk
  4. 034A dealer keys a sell order for 10 lakh shares instead of 1,000. Half fills before it is cancelled and the firm buys the shares back higher. Compute the loss and name the controls that would have blocked the order.Operational risk and loss eventsCoreOperational riskBank market risk
  5. 035A business park is valued at an 8% cap rate with a 65% loan-to-value covenant. Rates rise and the cap rate moves to 9.5%. What happens to value and LTV, what paydown cures the breach, and what if rents fall too?Project and real asset financeCoreMSCIMumbai · 2015
  6. 036Delinquency on three successive vintages of two-wheeler loans is rising while disbursements grow 40% and the approval rate climbs. Separate seasoning from underwriting drift and say what the credit committee should do.Retail and portfolio creditCoreNBFC credit risk
  7. 037A small cooperative bank holds a large government bond portfolio as held-to-maturity. Yields rise 200 basis points. How big is the hidden loss against capital, and why does the accounting label not make it go away?Stress testing and scenariosWarm upTreasury and ALMBank market risk
  8. 038Pass-through certificates on a home loan pool were priced for slow prepayment, and borrowers are prepaying much faster. Show how the weighted average life shortens and what that does to an investor who paid a premium.Structured finance and securitisationCoreRating agencyTreasury and ALM
  9. 039A bank's risk-based capital ratio looks comfortable. Compute its leverage ratio from on-balance-sheet, derivative and off-balance-sheet exposure, and explain why the measure ignores risk weights on purpose.Capital and regulationWarm upBank credit risk
  10. 040A fast-growing software company gets most of its revenue from five clients. Assess its competitive advantage and barriers to entry, and test whether its growth survives the loss of its largest client.Corporate credit and ratingsCoreMorningstarAnonymous interview candidate in · 2023

Company names and figures are illustrative.