Derivatives Foundation case studies, worked step by step
- Cases
- 100
- Traced to a firm
- 12
- Topics
- 12
- Hard
- 29
Topic
All topicsMargin, clearing and risk limits8Market making and trading scenarios8Option pricing and arbitrage checks8Option strategies and trade ideas10Hedging with futures8Forwards, futures and arbitrage8Volatility trading8Interest rate derivatives9Structured products and client solutions7Currency derivatives and corporate FX hedging9Credit derivatives and counterparty risk7Greeks and managing an options book10
Showing 1–4 of 4 · filtered from 100Clear filters
- 030A fund buys five-year protection on Rs 50 crore of Jharsa Minerals bonds. The market spread is 350 bp, the standard running coupon 100 bp and the risky annuity 4.2. What is paid upfront, what is paid each quarter, and who pays whom?Credit tradingSell-side sales and trading
- 059Five counterparties with exposures of Rs 40, 25, 60, 15 and 30 crore, default probabilities of 0.5%, 2%, 0.8%, 6% and 1.5%, and 60% loss given default except the fifth at 45%. Compute and rank expected loss, and say which limit you would cut first.Risk managementCredit trading
- 061A bank at its Rs 500 crore limit to one borrower can buy five-year CDS protection on Rs 100 crore at 220 bp and lend Rs 100 crore more at a margin of 280 bp. What does the trade earn, and which risks does the bank still carry?Credit tradingRisk management
- 085An importer with large dollar debts sold your bank USD 50 million one year forward at 84. The rupee falls to 92. What does the client owe, why is that exposure likely to go bad at exactly that moment, and how do you protect the bank?Risk managementFX derivatives
Company names and figures are illustrative.