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. 030A 20-year bond has duration 13 and convexity 220. Estimate its price change for yield moves of plus and minus 150 basis points with duration alone and with convexity, and say which error hurts someone who is short the bond.Fixed income and creditWarm upFixed income quantRisk quant
  2. 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
  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. 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.