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 51–57 of 57 · filtered from 100Clear filters
  1. 087Aviratam holds two positions of Rs 50 crore each, with annual volatilities of 20% and 25%. What are the portfolio volatility and one-day 99% VaR at the modelled correlation of -0.3, and at a crisis correlation of +0.8?Risk measurement and limitsWarm upRisk quantPortfolio construction
  2. 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
  3. 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
  4. 092Kadvari's signal uses each day's closing price to trigger a trade executed at that same close. Re-run with execution at the next open and the annual return falls from 15% to 4%. Where did the 11 points go, and how do you fix the timing?Strategy evaluation and backtestsWarm upSystematic hedge fundsQuant research
  5. 094Bhavantar is long 100 at-the-money straddles with total gamma of 40 shares per rupee. The stock moves 1,000, 1,010, 1,000, 990, 1,000 during the day, theta costs Rs 3,000, and the desk re-hedges at each step. What is the net P&L?Options and volatility tradingWarm upOptions market makingQuant trading
  6. 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
  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

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