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 11–20 of 23 · filtered from 100Clear filters
  1. 055A lender's 12,000 personal loans sit in four score buckets with 30 defaults of 4,000, 60 of 4,000, 90 of 2,500 and 150 of 1,500. Compute default rates, 95% intervals and expected loss at 60% loss given default, and say whether the buckets are well ordered.Fixed income and creditCoreJane StreetLondon · 2025
  2. 057A factor model of monthly returns shows a Durbin-Watson of 0.9, residual variance rising with market volatility (Breusch-Pagan p = 0.01) and variance inflation factors of 12 on two value factors. Which assumption does each break, what happens to the coefficients and t-statistics, and what is the fix?Regression and model reviewCoreCitadelLondon · 2026
  3. 061An acquirer offers Rs 400 cash per share for a target trading at Rs 370. If the deal breaks the target falls to Rs 300, and closing is six months away. What completion probability does the price imply, what is the annualised return if it closes, and how does the trade change if the offer is 0.8 acquirer shares instead?Statistical arbitrage and event tradesCoreAQR Capital ManagementGreenwich · 2021
  4. 065You are asked to build a model of monthly rents for 5,000 Mumbai flats from carpet area, floor, distance to the nearest station and building age. Choose the target, the features and the validation scheme, and interpret a coefficient of 0.9 on log area.Signal research and data tasksCoreTwo SigmaNew York · 2025
  5. 074A book has a mean daily P&L of Rs 2 lakh with a daily standard deviation of Rs 10 lakh. Give 95% intervals for tomorrow's P&L, for the average daily P&L over the next 250 days, and for the year's total.Strategy evaluation and backtestsCoreOld Mission CapitalChicago · 2025
  6. 077Make a market on the number of cars parked at a large suburban mall at 1 pm on Saturday: four levels of about 250 bays, occupancy somewhere between 70% and 90%. Then the interviewer sells to your bid three times in a row. How do you quote, and how do you update?Market-making gamesCoreDRWChicago · 2025
  7. 080Lending case: Sonvarsha Castings wants a Rs 120 crore loan. Probability of default is 2.5% a year, loss given default 45%, EBITDA Rs 60 crore, total debt Rs 180 crore and interest cover 2.4. What is the expected loss, what spread covers it plus a 1.5% cost of capital, and would you lend?Fixed income and creditCoreDeutsche BankNew York · 2024
  8. 083A customer buys 500 one-month at-the-money index calls from Mayurika at Rs 12 (delta 0.5, gamma 0.013 per rupee, vega Rs 1.1 per vol point, per unit of index). Mayurika hedges the delta; then the index jumps Rs 10 and implied volatility rises 2 points. What is the P&L, and what is the new hedge?Options and volatility tradingCoreOld Mission CapitalChicago · 2020
  9. 084Regressed on the market alone, Suryamandal's fund shows alpha of 0.8% a month (t = 2.9). Adding size and value factors gives alpha of 0.35% (t = 1.4), with loadings of 0.95 on the market, 0.6 on size and 0.4 on value. Where did the alpha go, and what does the fund really deliver?Regression and model reviewCoreState StreetCambridge · 2019
  10. 088The interviewer asks for a market on the maximum of four fair dice, then lifts your offer twice in a row at 5.4. What is the contract worth, how wide should the market be given its skewed distribution, and how do you requote?Market-making gamesCoreOptiverSan Francisco · 2026

Company names and figures are illustrative.