CrTAS case studies
CrTAS · Put your knowledge to work in context.
The Certified Risk and Treasury Analyst Specialist (CrTAS) is an independent-practice credential for professionals who sit at the junction of risk control and treasury execution: bank treasury analysts, ALM and liquidity analysts, credit and market risk officers, middle-office controllers, and finance staff moving into a risk-and-treasury remit. The syllabus is deliberately integrated rather than siloed. It expects you to reason across seven domains - risk governance and appetite setting, market risk measurement, credit and counterparty exposure, liquidity and asset-liability management, operational/compliance/model risk, treasury operations and payments, and reporting, stress testing and capital - and to connect them: a duration decision changes capital consumption; a collateral dispute becomes a liquidity event; a model limitation becomes a governance finding. Items are multiple choice, multiple response, and computational or scenario-based, so expect to calculate as well as explain. The CrTAS case studies are 5 cases and about 3,569 words.
1Duration Limit Breach and the Limits of Management Discretion
Northbridge Bank ( 18bn assets) runs a duration limit of 4.5 years on its 3.1bn available-for-sale securities portfolio. At the October month-end, Treasury reports duration of 5.1 years.
761 words, about 4 min2VaR Backtesting Exceptions and a New Product Nobody Modelled
Meridian Markets, the trading subsidiary of a 40bn bank, reports 99% one-day VaR of 4.8m on a 2.3bn fixed-income portfolio. The model uses equally weighted historical simulation over a 500-day window.
723 words, about 4 min3Collateral Dispute, Downgrade, and Wrong-Way Risk at Arclight
Arclight Bank has a seven-year, 600m notional interest rate swap with Halden Energy, a single-A rated independent producer. The swap is deeply in-the-money to Arclight: mark-to-market is 48m.
670 words, about 3 min4An LCR That Looks Strong Until the Level 2 Cap Is Applied
Lakeshore Savings ( 25bn assets) reports an LCR of 112%: 4.2bn HQLA against 3.75bn net outflows. HQLA is 55% Level 1, 40% Level 2A, and 5% Level 2B.
666 words, about 3 min5Sanctions Hit at 3:50pm: Cut-Off, Override Pressure, and Intraday Liquidity
At 3:50pm, Atlas Bank's payments operations receives an 85m USD supplier payment from a long-standing corporate client. The correspondent bank's USD cut-off is 5:00pm.
749 words, about 4 min