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 41–50 of 100
  1. 041A bank is quoting a five-year cross-currency swap to a steel company. Given the expected exposure profile, default probability and recovery, compute the CVA and decide whether a 15 basis point upfront credit charge covers it.Counterparty risk and CVAHardCounterparty riskQuant risk
  2. 042An asset manager wants to hedge a high-beta equity portfolio with index futures. Size the hedge, then show what happens when the index falls 8% and the portfolio falls 12%.Hedging a bookWarm upAsset manager risk
  3. 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
  4. 044A bank with concentrated uninsured deposits and underwater held-to-maturity bonds faces a social-media-driven run. Compute the funding hole, the loss realised selling bonds to fill it, and what the bank should have measured beforehand.Liquidity risk and ALMHardTreasury and ALMBank market risk
  5. 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
  6. 046A bank's outsourced core banking platform goes down for nine hours on salary day. Compute the direct loss, explain why it understates the damage, and set out the outsourcing controls the bank should have had.Operational risk and loss eventsWarm upOperational riskTreasury and ALM
  7. 047A toll road with a 15-year concession is sized for debt at 1.3 times cover on its base case. How much can it borrow, and what happens to cover if traffic comes in 15% below the forecast?Project and real asset financeHardProject financeBank credit risk
  8. 048A bank is pricing an unsecured personal loan with a 4% default probability and 70% loss given default. Build the minimum rate from its costs, including capital, and judge a proposal to undercut a competitor's 13% offer.Retail and portfolio creditHardBank credit riskRisk GCC
  9. 049Run a one-year recession scenario on a bank's corporate and retail books. Compute stressed credit losses and the post-stress CET1 ratio, and say what the static result hides.Stress testing and scenariosHardBank credit riskRisk GCC
  10. 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

Company names and figures are illustrative.