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 1–2 of 2 · filtered from 100Clear filters
  1. 041A company's 5-year bond trades 450 bps over government with 40% recovery assumed, while a structural model on its equity implies a 3% annual default probability. Back out the market-implied default rate, compare the two, and say which instrument looks mispriced.Fixed income and creditHardFixed income quantQuant research
  2. 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

Company names and figures are illustrative.