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. 003An exporter wants a one-year forward to sell USD 25 million, and its credit line with the bank is Rs 10 crore. The forward is worth nothing today. Does it fit the line, and if not, how would you make it fit?Counterparty risk and CVAWarm upCounterparty riskBank credit risk
  2. 016A bank lends Rs 500 crore in repo against corporate bonds with a 10% haircut. The bonds fall 15% in a week, the borrower defaults, and selling costs another 5%. What does the bank lose, and how should the haircut have been set?Counterparty risk and CVACoreCounterparty riskTreasury and ALM
  3. 028A bank pays the rupee leg of an FX trade in the morning and the dollars are due in the evening. The counterparty is shut by its regulator in the afternoon. What was the exposure, what is the risk called, and what would have removed it?Counterparty risk and CVAWarm upCounterparty riskOperational risk
  4. 041A bank is quoting a five-year cross-currency swap to a steel company. Given the expected exposure profile, default probability and recovery, compute the CVA and decide whether a 15 basis point upfront credit charge covers it.Counterparty risk and CVAHardCounterparty riskQuant risk
  5. 053You value your derivatives with a client at Rs 37 crore owed to you; the client says Rs 25 crore. The collateral agreement has a Rs 10 crore threshold and no collateral is held. What do you call, what is disputed, and what happens if the client fails to post?Counterparty risk and CVACoreCounterparty riskOperational risk
  6. 066A power company that earns only in rupees has a cross-currency swap with your bank in which it pays dollars and receives rupees on USD 100 million, and also owes USD 150 million of loans. The dollar rises 20% against the rupee. Show how your exposure and the client's default risk rise together, and propose limits and mitigants.Counterparty risk and CVAHardCounterparty risk
  7. 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

Company names and figures are illustrative.