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 61–70 of 81 · filtered from 100Clear filters
  1. 078A clearing member defaults with a Rs 300 crore loss on its positions. Run the clearing house's default waterfall and show who pays what.Counterparty risk and CVACoreCounterparty riskBank market risk
  2. 079A sugar mill has sold 60% of its output forward, and the spot price then falls 20%. Compute revenue with and without the hedge, and explain what the lender gains from the hedging policy.Hedging a bookWarm upBank credit riskNBFC credit risk
  3. 080A rupee fund's US equities return 8% in dollars while the rupee falls 3%. What is the rupee return, and what would it have been if the dollar exposure had been hedged with a 4% forward premium?Investment and portfolio riskWarm upAsset manager risk
  4. 081A small finance bank's maturity ladder shows negative gaps of Rs 300 crore and Rs 250 crore in the first two weeks, against a Rs 400 crore tolerance on the cumulative negative gap within 14 days. Find the breach and propose fixes.Liquidity risk and ALMCoreTreasury and ALM
  5. 082A treasury holds Rs 800 crore of 10-year government bonds with modified duration 7.1 against a DV01 limit of Rs 25 lakh. Measure the breach and size an interest rate swap that brings the book inside the limit.Market risk limits and VaRWarm upTreasury and ALMBank market risk
  6. 083A bank values Rs 600 crore of illiquid corporate bonds off a proxy curve that independent price verification finds 35 basis points too tight. With duration 4, what is the valuation gap and how big a reserve do you hold?Model risk and validationCoreModel validationBank market risk
  7. 084A bank's branches sold insurance-linked savings plans to elderly fixed deposit customers, and 4,000 complaints have arrived. Estimate the remediation cost, add an illustrative penalty, and trace the root cause.Operational risk and loss eventsHardOperational riskBig Four risk advisory
  8. 085A hospital project funded 70% debt and 30% equity overruns its Rs 800 crore budget by 20%. What is the funding gap, who covers it if the sponsor signed completion support, and what should the lender have asked for at the start?Project and real asset financeWarm upProject financeBank credit risk
  9. 087A bank lends to airlines, oil refiners and road transport. An oil price shock of 60% moves each sector's default rate differently. Compute stressed losses against the base case and say what the stress test tells the bank.Stress testing and scenariosCoreBank credit risk
  10. 088A securitisation trust collects Rs 90 crore this quarter and owes senior interest and principal, then junior interest and principal, in that order. Run the waterfall and show who is short.Structured finance and securitisationWarm upRating agency

Company names and figures are illustrative.