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 81 · filtered from 100Clear filters
  1. 054An infrastructure company has Rs 1,000 crore of floating rate loans and EBITDA of Rs 180 crore. A swap would fix its benchmark at 7.2% when the benchmark is 7%. Compare interest cost and cover, hedged and unhedged, if rates fall to 5% or rise to 9%.Hedging a bookCoreBank credit riskTreasury and ALM
  2. 055A credit fund has 9% of its Rs 2,000 crore portfolio in one issuer that has just defaulted, with expected recovery of 30%. What is the NAV hit, how would a segregated portfolio ring-fence the bad bond, and what does it mean for investors who redeem next week?Investment and portfolio riskWarm upAsset manager riskRating agency
  3. 056A bank's repricing gaps are plus Rs 1,500 crore at 0 to 3 months, minus Rs 2,000 crore at 3 to 6 months and minus Rs 1,200 crore at 6 to 12 months. Estimate the one-year change in net interest income from a 100 basis point rise, and propose a hedge.Liquidity risk and ALMHardTreasury and ALMBank market risk
  4. 057A desk's VaR has risen from Rs 12 crore to Rs 18 crore against a Rs 15 crore limit, with no change in positions, because market volatility jumped. Do you grant a temporary limit increase or cut positions, and how big a cut gets it back inside?Market risk limits and VaRWarm upBank market risk
  5. 058A bank has 40 models: 8 complex capital and pricing models, 20 moderate scoring and reporting models and 12 simple tools. Tier them, set validation cycles and estimate the validation team's annual workload.Model risk and validationWarm upModel validationRisk GCC
  6. 060A port company has a Rs 1,200 crore bullet loan at 8.5% maturing in two years and operating cash flow of Rs 180 crore. If refinancing costs 11%, what happens to its interest burden and cover, and what should the lender require now?Project and real asset financeCoreProject financeTreasury and ALM
  7. 061Using a one-year rating transition matrix, compute the two-year default probability of a grade B borrower and explain why it is more than twice the one-year figure.Retail and portfolio creditHardBank credit riskQuant risk
  8. 062An insurer holds a Rs 500 crore equity portfolio with a beta of 1.1 against solvency headroom of Rs 150 crore. Apply a 25% market fall, decide whether the headroom survives, and say what else the scenario should include.Stress testing and scenariosWarm upAsset manager risk
  9. 063A securitised personal loan pool yields 14% a year. Investors are paid 8.5%, servicing costs 1% and expected losses are 3%. What is the excess spread, how does it protect investors, and what happens if losses rise to 5%?Structured finance and securitisationWarm upRating agency
  10. 064A bank buys a Rs 5,000 crore loan portfolio for Rs 5,300 crore. It has CET1 of Rs 6,000 crore on RWA of Rs 50,000 crore, the loans carry a 100% risk weight and the premium is goodwill deducted from CET1. What is the CET1 ratio after the deal, and how much capital does it need to stay at 12%?Capital and regulationCoreBank credit riskRating agency

Company names and figures are illustrative.