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 1–7 of 7 · filtered from 100Clear filters
  1. 012A textile company earns only in rupees but has USD 60 million of loans. Stress a 15% fall in the rupee and show what happens to its debt, interest cover and leverage from the lender's side.Stress testing and scenariosCoreBank credit riskRating agency
  2. 037A small cooperative bank holds a large government bond portfolio as held-to-maturity. Yields rise 200 basis points. How big is the hidden loss against capital, and why does the accounting label not make it go away?Stress testing and scenariosWarm upTreasury and ALMBank market risk
  3. 049Run a one-year recession scenario on a bank's corporate and retail books. Compute stressed credit losses and the post-stress CET1 ratio, and say what the static result hides.Stress testing and scenariosHardBank credit riskRisk GCC
  4. 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
  5. 074An NBFC has capital of Rs 1,500 crore on loans of Rs 9,000 crore, all at a 100% risk weight, and must hold at least 15%. Loss given default is 50%. Run a reverse stress test: what portfolio default rate takes it to the minimum, and how plausible is that?Stress testing and scenariosHardNBFC credit riskRisk GCC
  6. 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
  7. 099A debt fund with Rs 5,000 crore of assets, 15% liquid, faces 30% redemptions in a week and sells illiquid bonds at a 4% discount once cash runs out. Compute the loss borne by the investors who stay, and explain the first-mover problem.Stress testing and scenariosHardAsset manager riskTreasury and ALM

Company names and figures are illustrative.