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 11–17 of 17 · filtered from 100Clear filters
  1. 060A fund holds Rs 80 crore of a mid-cap that trades Rs 8 crore a day, and its normal one-day VaR is Rs 3 crore. Add the cost of exiting at 20% of daily volume, with a 60 bps spread and square-root impact, and restate the risk.Risk measurement and limitsHardRisk quantExecution and microstructure
  2. 070A desk has two even-money bets, each winning 55% of the time. Size them with Kelly alone, then jointly when they are independent, and then when their outcomes have correlation 0.5.Position sizing and bankrollHardSystematic hedge fundsQuant trading
  3. 071A desk's stress loss hits Rs 42 crore against a Rs 40 crore limit after a volatility spike. Compare cutting positions, buying index puts at a 2.5% premium, and asking for a temporary limit increase, with numbers on each.Risk measurement and limitsHardRisk quantOptions market making
  4. 081Palashvan reports a monthly Sharpe ratio of 0.35, annualised to 1.21 with the square root of 12, but its monthly returns have a lag-one autocorrelation of 0.4 because illiquid positions are marked slowly. What is the corrected annual Sharpe, and what does the smoothing hide?Strategy evaluation and backtestsHardSystematic hedge fundsRisk quant
  5. 090Sthiram's two assets have expected returns of 8% and 8.5%, volatilities of 15% and 16%, and correlation 0.9. Show how a half-point change in one expected return swings the mean-variance weights, and propose a fix.Portfolio constructionHardPortfolio constructionQuant research
  6. 091A company's five-year CDS trades at 300 bps while its bond trades 360 bps over the swap curve. How do you construct the basis trade, what does it carry, and what can make it lose?Fixed income and creditHardFixed income quantQuant research
  7. 097Vairagi's 99% one-day VaR was exceeded 8 times in 250 days, against 2.5 expected. Is the model wrong? Use the binomial distribution and the traffic-light idea to decide.Risk measurement and limitsHardRisk quantQuant research

Company names and figures are illustrative.