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. 005A family office holds half its money in equities and believes it is balanced. Measure how much of its risk each asset actually carries, and redesign the mix so no asset carries more than 60% of the risk.Investment and portfolio riskCoreAsset manager riskQuant risk
  2. 018A trust with a portfolio already 70% in Indian equities asks how to allocate a new Rs 100 crore mandate across an equity fund, a credit fund and a multi-strategy fund. Show how the answer changes when you judge the whole portfolio rather than the mandate alone.Investment and portfolio riskHardMSCIAnonymous interview candidate in · 2013
  3. 030An enhanced index fund with a 2% tracking error budget wants three stock overweights and a sector tilt. Compute the tracking error and check it against the budget.Investment and portfolio riskCoreMSCIMonterrey · 2013
  4. 043An underfunded pension fund must close its gap in ten years without risking a large loss in any one year. Set the return target and find the equity share that meets it inside the loss limit.Investment and portfolio riskHardMSCIRemote · 2013
  5. 055A credit fund has 9% of its Rs 2,000 crore portfolio in one issuer that has just defaulted, with expected recovery of 30%. What is the NAV hit, how would a segregated portfolio ring-fence the bad bond, and what does it mean for investors who redeem next week?Investment and portfolio riskWarm upAsset manager riskRating agency
  6. 068A portfolio has a market beta of 0.9 and a size factor exposure of 0.6. In a month when the market falls 10% and small caps trail large caps by a further 10%, estimate its return, split it by factor, and propose how to cap the size exposure.Investment and portfolio riskCoreAsset manager riskQuant risk
  7. 080A rupee fund's US equities return 8% in dollars while the rupee falls 3%. What is the rupee return, and what would it have been if the dollar exposure had been hedged with a 4% forward premium?Investment and portfolio riskWarm upAsset manager risk
  8. 092A fund of funds must drop one of two managers: one returned 14% with 20% volatility and a 32% drawdown, the other 11% with 10% volatility and a 12% drawdown. Compare them on risk-adjusted measures and decide which to keep.Investment and portfolio riskCoreAsset manager risk

Company names and figures are illustrative.