Quant finance. proba stat. review of CV.
Quantitative Risk Interview Questions
243 quantitative risk interview questions shared by candidates
- Put me in a real context and asked me for the best risk strategy I will use -
FRTB at the oral interview
How is a Markov chain defined? What is a transition matrix. How could it be used to model credit ratings? If you had the transition matrix for 1 year, how would you calculate the transitions for more than 5 years?
What is Value at Risk? What is its mathematical definition?
How would you go about doing a regression for the default probability based on other data? What steps would you go through? How could you examine the model's performance?
1. Tell me about yourself. 2. How familiar are you with programming languages? 3. Do you have any questions?
"How would you plot the discount curve in a DCF model?" "What are the elements of a put-call parity?" "What is the Black-Scholes Model?" "What are the steps in a Value at Risk Model?"
Tell me about yourself and why you would be a good fit for this position?
What is VaR, Delta, Gamma? What is Asian Options?
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