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 1–2 of 2 · filtered from 100Clear filters
  1. 019A company's CDS trades at 450 bp with a 40% recovery assumption, and one-year puts struck at Rs 80 on its Rs 200 stock cost Rs 6. For one year of protection against default, which is cheaper: CDS or deep out-of-the-money puts?Credit derivatives and counterparty riskHardCredit tradingHedge funds
  2. 089A bank's five-year swap with a mid-sized client has expected positive exposure of Rs 8, 12, 14, 11 and 5 crore by year. Default probability is 2% a year, loss given default 60%. Compute the CVA and say how collateral would change it.Credit derivatives and counterparty riskHardRisk managementCredit trading

Company names and figures are illustrative.