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1. BS formula derivation, d1 and N(d1) meaning 2. Greeks (Graph) 3. Normal distribution, skew( asked to draw a graph of a left-skewed distribution and a normal distribution with the same mean), kurtosis, why do people use normal distribution assumptions? (fewer parameters, additivity) 4. VaR, CVaR, ES, are the last two terms the same thing? 5. Hull-White model Behavior: 1. Tell me about yourself 2. Where do you see yourself 5 years on this role?
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Model & Integration Testing Engineer

Interviewed at Bloomberg

4★
Jan 20, 2021

1. BS formula derivation, d1 and N(d1) meaning 2. Greeks (Graph) 3. Normal distribution, skew( asked to draw a graph of a left-skewed distribution and a normal distribution with the same mean), kurtosis, why do people use normal distribution assumptions? (fewer parameters, additivity) 4. VaR, CVaR, ES, are the last two terms the same thing? 5. Hull-White model Behavior: 1. Tell me about yourself 2. Where do you see yourself 5 years on this role?

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