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. 020A Rs 500 crore equity fund has daily volatility of 1.1%. Compute the one-day 99% VaR, the ten-day VaR by the square-root-of-time rule and the monthly VaR, then explain how daily autocorrelation of 0.2 breaks the scaling.Risk measurement and limitsWarm upAQR Capital ManagementGreenwich · 2022
  2. 033Given twenty days of desk P and L that include one very large loss, compute the 95% historical VaR, the normal VaR and the expected shortfall, and say which the risk committee should see.Risk measurement and limitsCoreBlackRockNew York · 2026

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