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 71–80 of 100
  1. 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
  2. 072A stock will join a benchmark tracked by Rs 20,000 crore of passive money at a 0.8% weight, and it trades Rs 60 crore a day. Estimate the passive demand in days of volume and the likely price pressure around the effective date.Statistical arbitrage and event tradesWarm upSystematic hedge fundsExecution and microstructure
  3. 073You are making a market on the number of sixes in twelve dice. After you quote, six of the dice are revealed and exactly one of them is a six. Reprice, and explain what happens to your width even though the fair value does not move.Market-making gamesCoreQuant tradingOptions market making
  4. 074A book has a mean daily P&L of Rs 2 lakh with a daily standard deviation of Rs 10 lakh. Give 95% intervals for tomorrow's P&L, for the average daily P&L over the next 250 days, and for the year's total.Strategy evaluation and backtestsCoreOld Mission CapitalChicago · 2025
  5. 075A contract settles at the sum of three cards drawn without replacement from ten cards numbered 1 to 10, at Rs 100 a point. Quote a two-way market before any card, after the first card shows 9, and after the second shows 2, keeping pace with the dealer.Market-making gamesHardOptiverChicago · 2026
  6. 076Samudrika is long Rs 300 crore of equities and short Rs 150 crore of bond futures with duration 7 as a hedge. What is the P&L in a flight to quality and in a correlation breakdown, and what does the stress test say about the hedge?Risk measurement and limitsCoreRisk quantFixed income quant
  7. 077Make a market on the number of cars parked at a large suburban mall at 1 pm on Saturday: four levels of about 250 bays, occupancy somewhere between 70% and 90%. Then the interviewer sells to your bid three times in a row. How do you quote, and how do you update?Market-making gamesCoreDRWChicago · 2025
  8. 078In a six-hour data task, a feature predicts next-day returns across 400 stocks with an average daily information coefficient of 0.02 and a standard deviation of 0.08 over 750 days. Is it real, what information ratio should you expect, and what do you check before presenting?Signal research and data tasksHardSquarepoint CapitalParis · 2025
  9. 079Dhruvika's Rs 1,000 crore portfolio is 60% equity and 40% bonds. Equities rise 30% and bonds are flat. How far has it drifted, what trade restores it and what does that cost at 10 bps, and should the fund rebalance on a calendar or a threshold?Portfolio constructionCorePortfolio constructionSystematic hedge funds
  10. 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.