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 1–5 of 5 · filtered from 100Clear filters
  1. 013A client with Rs 5 lakh sells two lots of out-of-the-money index calls at Rs 1.4 lakh margin a lot. A volatility spike and a rally raise margin to Rs 3.1 lakh a lot and the calls lose Rs 60,000. What happens, and what are the client's choices?Margin, clearing and risk limitsCoreIndian brokingRisk management
  2. 029A clearing member defaults and closing out its book loses Rs 70 crore. Its initial margin is Rs 40 crore and its default fund contribution Rs 10 crore; the clearing corporation holds Rs 5 crore of its own capital in the waterfall and the other members' default fund is Rs 100 crore. Who bears what?Margin, clearing and risk limitsCoreClearing and riskDerivatives operations
  3. 031A desk with a Rs 5 crore one-day VaR limit sits at Rs 4.6 crore, and a client trade would take it to Rs 5.6 crore. It can reject the trade, hedge with index futures to cut VaR by Rs 0.8 crore for Rs 3 lakh, or ask for a temporary limit. What do you do?Margin, clearing and risk limitsCoreRisk managementSell-side sales and trading
  4. 063A broker is short 20 lots, lot 50, of the one-month Satpura 50 22,000 straddle on 14% implied volatility. The exchange revalues the position for index moves of minus 6% to plus 6% combined with volatility up or down 4 points. Which scenario is worst, and what margin does it imply?Margin, clearing and risk limitsCoreClearing and riskIndian derivatives desks
  5. 093A collateral agreement has a threshold of Rs 5 crore, a minimum transfer of Rs 50 lakh and rounding to Rs 10 lakh. The amount owed to the bank over five days is Rs 3.2, 5.8, 6.1, 9.4 and 7.0 crore. What collateral is called or returned each day?Margin, clearing and risk limitsCoreDerivatives operationsClearing and risk

Company names and figures are illustrative.