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Updated by Jawwad Farid on Dec 17, 2016
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Jawwad Farid Jawwad Farid
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Risk Case Studies

A collection of case studies focused on financial risk management.

Four market risk case studies

Four market risk case studies for your weekend read. China Aviation Oil (Singapore), JP Morgan (London Whale), Ceylon Petroleum (Sri Lanka) & HFT

London Whale - Casestudy & Timeline - Finance Training Course

A Synthetic Credit Portfolio trader, Bruno Iksil, was given the title of the “London Whale” in the April 6, 2012 issue of the Wall Street Journal and Bloomberg. (Hurtado) This case study focuses on the reasons for that article and the series of derivative transactions (involving credit default swaps) which cost JPMorgan Chase & Co. more than $6.2 billion.

Stress Testing Guidelines for banks. A quick comparison

A brief review of stress testing guidelines and frameworks in place for banks and FI's in the US, Europe, Singapore and Pakistan.

Expected Loss Unexpected Loss, Economic Capital case study

A step by step case study. Credit risk EL UL & Economic Capital. Step by step expected loss, unexpected loss & required capital under BIS guidelines

Calculating Economic capital - Using Leverage Ratio

Calculating economic capital using Tier 1 leverage ratio as regulatory intervention trigger. Case study based on Goldman, JP Morgan, Citi, Wells & Barclays

Ceylon Petroleum Corporation (CPC) Oil Hedging 2007 - Casestudy - Finance Training Course

Ceylon Petroleum Corporation (CPC) made oil price hedging deals with several banks in 2007 without employing the proper expertise for such a complex option. When the oil market crashed, the hedging deals’ negative payoff for CPC reached several hundred millions. CPC defaulted on the hedging payments which resulted in the banks taking CPC to International Courts in 2009.

Interest rate swap value at risk calculation in Excel

Use excel spreadsheet to calculate value at risk for interest rate swap and cross currency swaps.

Jet Fuel Aviation Hedge Case Study - Hedge effectiveness calculation - Finance Training Course

Extends the analysis for a hedge effectiveness presentation to the board of an airline. Questions answered include reviewing the volatility distribution, P&L distribution, hedge ratios and hedge effectiveness for a fuel hedging program

Delta hedging options using Monte Carlo Simulations in Excel

A step by step approach to building Excel spreadsheets that shows how delta hedging options works using Monte Carlo simulation.

Barclays Bank Probability of Default (Estimated) - August 2012

Comparing 4 year probability of default (PD) trend-lines for 5 of the big BBA USD Libor Banks (Barclays, JP Morgan, BAML, HSBC & RBC)

Margin Lending - Prime Brokerage Risk Case Study

Margin lending to Hedge Funds at Prime Brokerage desk risk management case study.

Fixed Income Portfolio management & optimization

Fixed income portfolio management case study. Using Excel solver to optimize fixed income portfolios using liquidity, factor sensitivity concentration VaR.

Calculating value at risk. FRM MBA Lecture transcript.

Transcript of FRM Session. Covering volatility (vol), calculating value at risk (VaR) using SMA volatility, historical simulation and VCV approaches.

  • Built my first spreadsheet model at 14. Hooked up with startups at 27. Now write, mentor, teach and experiment with fastest ways of losing obscene amounts of cash without gambling, banking, trading, alcohol or wheels.

    Bragging rights: 5 books, 4 continents, 1 cross border exit. Most recent published by Palgrave Macmillan, Models at Work and Options Greeks Primer.

    Current Focus: Scaling up my computational finance e-learning venture Risk, Simulation & Option Pricing Courses. (Official Motto: We teach rocket science to ordinary mortals.). Tell us how bad a job we are doing.

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