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 41–50 of 50 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 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
  4. 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
  5. 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
  6. 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
  7. 089Parvanta asks you to design the train, validation and test split for eight years of daily data with 20-day forward-return labels. How many days must be purged and embargoed around each boundary, and how many walk-forward folds with one-year test windows remain?Signal research and data tasksCoreOptiverSan Francisco · 2026
  8. 093Analyse a pairs trade in Varnika Paints and Chitrangi Coatings: hedge ratio 1.2, spread z-score 2.3, half-life 12 days, spread standard deviation Rs 8. What are the expected profit, the holding time and a stop level, and what would break the relationship?Statistical arbitrage and event tradesCoreSchonfeldNew York · 2021
  9. 098Corvinta runs two markets on the same pair of dice: A settles at their sum and B at the first die minus the second. Another player quotes A at 6.5 bid, 7.5 offer and B at -0.5 bid, 0.5 offer. The first die is revealed as 5. Update both fair values and find the trades.Market-making gamesCoreCitadelLondon · 2026
  10. 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.