Quant case studies, worked step by step

Cases
100
Traced to a firm
43
Topics
11
Hard
30
Topic
All topicsSignal research and data tasks10Options and volatility trading10Market-making games14Portfolio construction10Strategy evaluation and backtests9Execution and market microstructure8Fixed income and credit8Regression and model review8Risk measurement and limits9Statistical arbitrage and event trades8Position sizing and bankroll6
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 11–13 of 13 · filtered from 100Clear filters
  1. 087Aviratam holds two positions of Rs 50 crore each, with annual volatilities of 20% and 25%. What are the portfolio volatility and one-day 99% VaR at the modelled correlation of -0.3, and at a crisis correlation of +0.8?Risk measurement and limitsWarm upRisk quantPortfolio construction
  2. 092Kadvari's signal uses each day's closing price to trigger a trade executed at that same close. Re-run with execution at the next open and the annual return falls from 15% to 4%. Where did the 11 points go, and how do you fix the timing?Strategy evaluation and backtestsWarm upSystematic hedge fundsQuant research
  3. 094Bhavantar is long 100 at-the-money straddles with total gamma of 40 shares per rupee. The stock moves 1,000, 1,010, 1,000, 990, 1,000 during the day, theta costs Rs 3,000, and the desk re-hedges at each step. What is the net P&L?Options and volatility tradingWarm upOptions market makingQuant trading

Company names and figures are illustrative.