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 1–5 of 5 · filtered from 100Clear filters
- 038Pass-through certificates on a home loan pool were priced for slow prepayment, and borrowers are prepaying much faster. Show how the weighted average life shortens and what that does to an investor who paid a premium.Rating agencyTreasury and ALM
- 063A securitised personal loan pool yields 14% a year. Investors are paid 8.5%, servicing costs 1% and expected losses are 3%. What is the excess spread, how does it protect investors, and what happens if losses rise to 5%?Rating agency
- 075A manufacturer sells Rs 400 crore of trade receivables into a securitisation. Dilution from credit notes and returns averages 4% with a stressed peak of 9%, and defaults run at 2% with a stressed 6%. Size the reserve needed to protect senior investors at the stressed levels.Rating agencyBank credit risk
- 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.Rating agency
- 100A trust holds five equal loans, each with a 10% default probability and no recovery, and its senior tranche is hit only if three or more default. Compute the senior loss probability with independent and with perfectly correlated defaults, and say which tranche gains from correlation.Rating agencyQuant risk
Company names and figures are illustrative.