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Case Study: Archegos Capital's Collapse Through a Risk Management Lens
In March 2021 a single family office lost roughly USD 20 billion of its own capital in two trading days and handed its prime brokers more than USD 10 billion in losses, without ever owning most of the shares it was betting on. This case study rebuilds Archegos Capital's book, its total return swap financing, and the margin-call cascade that unwound it, then dissects every risk control that should have stopped it and did not. Built for aspiring quant researchers, prop desk applicants and systematic traders scaling up leverage, with each lesson mapped to the Indian framework: SEBI position limits, NSE margining, broker pledging rules and the concentration traps that exist on Indian exchanges too.
Counterparty RiskLeverageTotal Return SwapsMargin CallsConcentration RiskPrime Brokerage
MODULES
4
DURATION
4 Hours
TRACK
Quantitative Finance
What You'll Master
Reconstruct how a USD 10 billion family office built USD 50 billion of hidden exposure using total return swaps across eight prime brokers
Trace the March 2021 margin-call cascade day by day and explain why the fastest bank to sell lost nothing while the slowest lost USD 5.5 billion
Diagnose the specific risk-control failures at Credit Suisse: static margining, ignored limit breaches, potential exposure blind spots and governance gaps
Apply counterparty credit risk tools such as potential future exposure, wrong-way risk and dynamic margining to a concentrated equity book
Map every failure to the Indian market: SEBI position limits, NSE VaR plus ELM margining, peak margin rules, pledged-share liquidations and broker concentration risk
Access Level
LEARNER
Everything included
Full Text Playbooks
Actionable Exercises
Mobile Reading Mode
Lifetime Updates