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 51–60 of 100
  1. 051A bank plans to grow its risk-weighted assets by 18% a year for three years while earning a 13% return on equity and paying out a quarter of it. Project its CET1 ratio and the capital it must raise.Capital and regulationHardBank credit riskRisk GCC
  2. 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
  3. 053You value your derivatives with a client at Rs 37 crore owed to you; the client says Rs 25 crore. The collateral agreement has a Rs 10 crore threshold and no collateral is held. What do you call, what is disputed, and what happens if the client fails to post?Counterparty risk and CVACoreCounterparty riskOperational risk
  4. 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
  5. 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
  6. 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
  7. 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
  8. 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
  9. 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
  10. 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

Company names and figures are illustrative.