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 1–9 of 9 · filtered from 100Clear filters
  1. 009A short-option book has normal daily P&L with a standard deviation of Rs 1 crore, plus a 0.8% daily chance of a Rs 20 crore loss. Compare 99% VaR with 97.5% expected shortfall and say which captures the risk.Risk measurement and limitsCoreRisk quantOptions market making
  2. 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
  3. 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
  4. 044A book holds Rs 100 crore of equities on Rs 25 crore of capital with a 15% maintenance margin. What fall triggers a margin call, and what daily volatility would make that a one-in-twenty-day event?Risk measurement and limitsCoreRisk quantSystematic hedge funds
  5. 060A fund holds Rs 80 crore of a mid-cap that trades Rs 8 crore a day, and its normal one-day VaR is Rs 3 crore. Add the cost of exiting at 20% of daily volume, with a 60 bps spread and square-root impact, and restate the risk.Risk measurement and limitsHardRisk quantExecution and microstructure
  6. 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
  7. 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
  8. 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
  9. 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

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