CPA Australia Financial Risk Management case studies
CPA Australia Financial Risk Management · Put your knowledge to work in context.
Financial Risk Management is a CPA Program subject within the CPA Program, which the source describes as being made up of four compulsory subjects and two electives. Candidates typically encounter it after the core compulsory subjects, when they choose electives that match their career direction - in this case, roles involving treasury, market and credit risk, liquidity and funding, operational and model risk, or hedging and derivatives. The CPA Australia Financial Risk Management case studies are 5 cases and about 5,095 words.
1CRO reporting line and a risk appetite statement that does not bite
Kauri Bank is an Australian ADI with A$19 billion in assets. Its Chief Risk Officer reports to the Chief Financial Officer, sits on the executive committee and presents to a board risk committee that meets four times a year for three hours.
973 words, about 5 min2Seven VaR exceptions in a bond trading book
Marlowe Securities is the trading subsidiary of an Australian bank. Its 99% one-day historical simulation VaR is built on 500 days of equally weighted data and averages A 4.2 million.
1,016 words, about 5 min3Forbearance, staging and a breach of the large exposure limit
Northbridge Bank has a A 6.5 billion commercial loan book; commercial property is 38% of it and 210% of eligible capital. Halcyon Developments owes A 140 million on a construction facility and A 60 million on a related investment loan.
952 words, about 5 min4LCR headroom built on Level 2 assets and five wholesale investors
Tasman Bank is an Australian ADI with A 8 billion in assets. Its 30-day LCR is 118% on post-haircut HQLA of A 1.9 billion: 54% Level 1, 34% Level 2A RMBS and 12% Level 2B listed equities and BBB-rated corporate bonds.
1,013 words, about 5 min5Swap hedge accounting under strain from prepayments and a collateral call
Pacific Agri Finance lends A 1.2 billion of five-year fixed-rate equipment loans, funded by rolling three-month bank bill borrowings. It hedges its margin with a single A 800 million five-year pay-fixed, receive-BBSW swap from one A-rated dealer under an ISDA with a A 20 million threshold, a A 1 million minimum transfer amount and daily margining, plus a ratings-based collateral trigger.
1,141 words, about 6 min