SDE , numerical methods , VaR , stochastic calculus, statistics, OOP
Quantitative Risk Management Interview Questions
15 quantitative risk management interview questions shared by candidates
Tell me a bit about yourself and your experiences (work, university). Based on this, some technical questions might be asked.
Brain teasers.
Please name all linear regression assumptions
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?
every question is about my resume. not very unexpected
Construct a digital option at a specific strike price using vanilla European options.
Write an algorithm to plot the pascal triangle
Viewing 1 - 10 interview questions