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 1–4 of 4 · filtered from 100Clear filters
  1. 018Pitch a 10-year trade: size a DV01-neutral 2s10s steepener against Rs 100 crore of 2-year bonds, with DV01s of Rs 1,900 and Rs 7,000 per crore, and compute the P&L if the curve steepens 20 bps with a 10 bps parallel rise.Fixed income and creditCoreBank of AmericaLondon · 2025
  2. 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
  3. 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
  4. 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

Company names and figures are illustrative.