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Risk Management Case Studies

pankajguptage

New Member
Hello Friends,

Please find link for famous case studies in Risk Credit , Market and Operational
http://www.erisk.com/Learning/CaseStudies.asp

Also Philipe Jorion's Orange County case study
http://www.merage.uci.edu/~jorion/oc/case.html#part3

Im new to this field and on internet i found the above, think information will help in understanding the Impact of Risk in Global Economy for new people like me . Please excuse me if the above is already available with you .

Regards ,
Pankaj
 

pankajguptage

New Member
just to add on the above has case studies for Barings, Orange County , Bankgesellschaft, Lloyd's, Morgan, Daiwa, Cendant, Banker's Trust , MG and others ..
 

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
Pankaj,

Thanks for the links and for adding resources to this forum, much appreciated!

Technically, the pure cases are: Metallgesellschaft, Sumitomo, Long Term Capital Management, and Barings Bank.
(Amaranth has been dropped, based on the latest AIMs. Which I find puzzling)

Broadly, there are other sort of case-like readings, don't get me wrong. I mean, Andrew Lo's analysis of Aug 2007 Quants arguably has case-like elements. Stulz on hedge funds, too. The new subprime securitization is a case study (a great case, IMO) as if follows the life of a deal.

But when the FRM exam says case studies, it really means: single firm high-profile disasters. And, for 2008, (I definitely want to confirm this with GARP), these have been reduced to the single Gallati reading (which has been in the exam for years).

I love the question; i.e., "being FRM is practice oriented and interdisciplinary" but I think this is more aspirational that totally accurate. Only because, at the end of the day, it is a standardized test where questions need to have very objective, concrete answers. I just think given that answers must be A, B, C, or D and the correct must be unequivocally true, there are limits to how much you can really quiz for either practice or cross-discipline.

But I do think they help; e.g., the Metall. case is a really great way to get practice with contango/rolling the stack and the futures ideas (I liked Amaranth b/c it gives a nice view into natural gas)...

But okay beyond that, from a practical standpoint (i.e., what do you need to pass the exam), the four above have a relatively small allocation to the overall exam. So, if time is limited, I would definitely tear into the Gallati Case (assigned) reading but i probably wouldn't go much deeper with your regular study time...

David
 

fullofquestions

New Member
In many of the practice tests there is one question relating to case studies. I found the following link to be helpful for preparing for the case study questions:

http://prmia.org/index.php?page=publication&option=caseStudies

Sumitomo
Bankgesellschaft Berlin
Barings
Bankers Trust
California Power Crisis
China Oil
Continental Illinois / Penn Square
Credit Lyonnais
Daiwa
Fannie Mae/Freddie Mac
LTCM
Metallgesellschaft
NAB - FX Options
Northern Rock
Orange County
Riggs Bank
Taisei
US S&L Crisis
WAMU
WorldCom
 
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