How would you estimate VaR
Model Risk Interview Questions
182 model risk interview questions shared by candidates
1. Time Series: Variability of the predictions given certain time points, Given 10 risk factors, if 11th risk factor is a derived factor from different 2. Basic statistics questions: Linear Regression, Confidence Intervals
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?
Typical behavioral and technical questions. Asked about previous experience with stochastic modeling.
Statistics, Stochastic process, Coding questions
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