Risk Management Case Studies

[pankajguptage]

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]

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 ..

 

[pankajguptage]

Hi David ,

Do you think the case studies can help being FRM is practice oriented and interdisciplinary .

Regards,

 

[David Harper CFA FRM]

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]

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