beaucoup de questions sur le CV Definir la VaR/ méthodes de calcul/ avantages inconvenients VIF/Regularization techniques Ils ne respectent pas les candidats, 6 semaines et toujours pas de réponses. Ils ne répondent meme pas sur des emails de follow ups. C'est null
What are your tops strengths and weaknesses?
A bunch of case study scenario questions
¿Cómo cambiar de divisa la sensibilidad a FX?
What is the theory of total probability?
Basic finance knowledge; Statistic knowledge; Programming skills
They asked about my familiarity with Python.
Technical questions, such as mathematical problems, pricing options, knowledge about volatility. 30 minutes phone interview with about 10 short questions.
Monty Hall Problem What is the difference between the Q and P measures? What is the difference between VaR and expected shortfall? What is the test for stationarity of a time series? What is N(d2) in Black-Scholes? What is the parameter d in an ARIMA model? How are returns distributed? Why use returns instead of prices for modelling? How does an asset's spot price relate to its forward price? How is bond's duration affected by a change in interest rates? What are current research issues in options pricing? Write code to merge these dataframes (in real time, write code for a Pandas merge, groupby, and apply) How would you value a call option on a stock if the option has infinite time to maturity? Describe any completely independent research you have undertaken How do you value an interest rate swap?
If you roll 2 dice’s what is the possibility the sum of points is bigger than 6?
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