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 21–27 of 27 · filtered from 100Clear filters
  1. 066A 3-year bond yields 7.2% while the 2-year yields 6.8%, and the desk funds positions at 6.5%. What does holding the 3-year for a year earn in carry plus roll-down, in basis points, and what yield rise would wipe it out?Fixed income and creditCoreFixed income quantQuant trading
  2. 073You are making a market on the number of sixes in twelve dice. After you quote, six of the dice are revealed and exactly one of them is a six. Reprice, and explain what happens to your width even though the fair value does not move.Market-making gamesCoreQuant tradingOptions market making
  3. 076Samudrika is long Rs 300 crore of equities and short Rs 150 crore of bond futures with duration 7 as a hedge. What is the P&L in a flight to quality and in a correlation breakdown, and what does the stress test say about the hedge?Risk measurement and limitsCoreRisk quantFixed income quant
  4. 079Dhruvika's Rs 1,000 crore portfolio is 60% equity and 40% bonds. Equities rise 30% and bonds are flat. How far has it drifted, what trade restores it and what does that cost at 10 bps, and should the fund rebalance on a calendar or a threshold?Portfolio constructionCorePortfolio constructionSystematic hedge funds
  5. 085Arohavi decided to buy 1 lakh shares at Rs 500. The order reached the market at Rs 502, 80% filled at an average of Rs 506, and the stock closed at Rs 515 with the rest unfilled. Decompose the implementation shortfall into delay, execution and opportunity costs.Execution and market microstructureCoreExecution and microstructureSystematic hedge funds
  6. 086Tamrisk's market-making book has a one-day 99% VaR budget of Rs 30 lakh, and the contract moves with a daily standard deviation of Rs 1,500 per lot. What is the maximum inventory, and how should the quotes skew as inventory approaches it?Position sizing and bankrollCoreOptions market makingRisk quant
  7. 100Vindhavan's two assets have equilibrium expected returns of 6% and 7%. A manager believes A will beat B by 3% and holds that view with 50% confidence. In a simple two-asset Black-Litterman setting, how do the blended expected returns move, and what happens to the weights?Portfolio constructionCorePortfolio constructionQuant research

Company names and figures are illustrative.