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. 007A bond-futures basis desk with a 99% VaR of Rs 8 crore loses Rs 14 crore in one day. The VaR model maps cash bonds and futures to the same yield curve. Explain the loss and fix the measurement.Market risk limits and VaRCoreBank market riskModel validation
  2. 020A bank has a Rs 100 crore firm-wide VaR budget across rates, credit and equities desks whose standalone VaRs add to Rs 120 crore. Compute the diversified VaR and allocate the budget by component VaR.Market risk limits and VaRHardBank market riskRisk GCC
  3. 032A desk holds a small-cap position worth eight days of trading volume. Its one-day VaR fits the limit, but can it actually get out? Rescale the risk to the exit horizon, add the exit cost and test the limit.Market risk limits and VaRCoreAsset manager riskBank market risk
  4. 057A desk's VaR has risen from Rs 12 crore to Rs 18 crore against a Rs 15 crore limit, with no change in positions, because market volatility jumped. Do you grant a temporary limit increase or cut positions, and how big a cut gets it back inside?Market risk limits and VaRWarm upBank market risk
  5. 070A rates desk has 500 days of P&L with a daily standard deviation of Rs 3.5 crore; its ten worst losses are Rs 21, 17, 15, 12, 11, 10, 9.5, 9, 8.6 and 8.2 crore. Compute 99% VaR by the parametric and historical methods and the 99% expected shortfall, then decide which number the desk should report.Market risk limits and VaRHardUBSZurich · 2021
  6. 082A treasury holds Rs 800 crore of 10-year government bonds with modified duration 7.1 against a DV01 limit of Rs 25 lakh. Measure the breach and size an interest rate swap that brings the book inside the limit.Market risk limits and VaRWarm upTreasury and ALMBank market risk
  7. 094An FX desk is long USD 50 million and short EUR 30 million against the rupee. With daily volatilities of 0.35% and 0.5% and a correlation of 0.6, compute the one-day 99% VaR and each position's component VaR, and decide which to reduce.Market risk limits and VaRHardBank market riskTreasury and ALM

Company names and figures are illustrative.