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
Showing 1–6 of 6 · filtered from 100Clear filters
- 024A bank has 2 lakh credit cards with Rs 1 lakh limits, each 40% used on average. Compute exposure at default and expected loss for the portfolio, allowing for borrowers drawing more before they default.Bank credit risk
- 036Delinquency on three successive vintages of two-wheeler loans is rising while disbursements grow 40% and the approval rate climbs. Separate seasoning from underwriting drift and say what the credit committee should do.NBFC credit risk
- 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.Bank credit riskRisk GCC
- 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.Bank credit riskQuant risk
- 073A microfinance lender has Rs 800 crore in stage 1 at a 2% twelve-month PD, Rs 150 crore in stage 2 at an 18% lifetime PD and Rs 50 crore in stage 3, all at 65% LGD. Compute the expected credit loss provision and the extra charge if Rs 100 crore moves from stage 1 to stage 2.Bank credit riskNBFC credit risk
- 098A microfinance lender has 35% of its Rs 2,000 crore book in one state hit by floods. If portfolio at risk there rises to 20% and half of it is lost, estimate the credit cost and its hit on Rs 400 crore of net worth.NBFC credit risk
Company names and figures are illustrative.