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 1–8 of 8 · filtered from 100Clear filters
  1. 006A payments bank's outgoing payments leave in the morning and its receipts arrive in the afternoon. It ends every day in surplus. Map its intraday position, find the peak shortfall and fix it.Liquidity risk and ALMCoreTreasury and ALMOperational risk
  2. 019A bank's branches raise one-year deposits at 6% and its lending unit makes three-year loans at 10%. Using the treasury's transfer pricing curve, split the 4 point margin between deposit gathering, lending and the maturity mismatch.Liquidity risk and ALMWarm upTreasury and ALM
  3. 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
  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. 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
  6. 069A dealer's derivatives carry rating triggers requiring Rs 300 crore of extra collateral on a one-notch downgrade and a further Rs 500 crore on a second notch. It holds Rs 900 crore of unencumbered liquid assets and expects Rs 250 crore of stressed margin outflows. What is the headroom after a two-notch downgrade, and what limits would you set?Liquidity risk and ALMCoreTreasury and ALMCounterparty risk
  7. 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
  8. 093A bank holds level 1 and level 2A liquid assets against retail and corporate deposits with different 30-day run-off rates. Compute its liquidity coverage ratio and find the cheapest fix if it falls short.Liquidity risk and ALMHardTreasury and ALMRisk GCC

Company names and figures are illustrative.