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
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 1–4 of 4 · filtered from 100Clear filters
  1. 005A Rs 500 crore equity fund with a beta of 1.15 wants its beta at 0.6 through a results month using index futures at 22,000 with a 50 unit contract. How many contracts, which side, and what is the fund still exposed to?Hedging with futuresCoreAsset managementEquity derivatives
  2. 024An airline hedging 60,000 tonnes of jet fuel with 1,000-barrel crude futures gets a regression of jet fuel price changes on crude futures changes: slope 0.71, standard error 0.08, R-squared 0.64, 36 observations. Read it, set the hedge, and say how much risk it removes.Hedging with futuresCoreWolverine TradingChicago · 2016
  3. 060An Indian wire maker will buy 500 tonnes of copper in three months, priced in dollars. It hedges copper at USD 9,000 and dollars at 83.80. At delivery copper is 9,600 and USD/INR 85.10. Work the rupee cost hedged and unhedged, and split the difference.Hedging with futuresCoreCommodities tradingFX derivatives
  4. 084A pension trust holds Rs 1,000 crore of government bonds with modified duration 7.2 and wants duration 4.0 for three months. A bond future has a DV01 of Rs 1,850. How many contracts, which side, and what risk remains?Hedging with futuresCoreRates derivativesAsset management

Company names and figures are illustrative.