Value at Risk, Expected shortfall, idiosyncratic risk.
Senior Quantitative Risk Analyst Interview Questions
243 senior quantitative risk analyst interview questions shared by candidates
Q: describe binomial and trinomial model
Construct a digital option at a specific strike price using vanilla European options.
I was asked to do a case study, e.g there's a company whose main competitor's profit margin is outpacing our company. Here I was asked to start asking the relevant questions that would give me information necessary to solve the company's problem.
few technical questions, why did I apply?
–Assumptions of a linear regression –Hypothesis testing – Heteroscedasticity and Weighted Least Squares – Implied vs historical volatility
Was sind die Hauptvorzüge von EGARCH-Modellen?
What are the properties of a WSS process?
Logistic model, probabilities, some SQL and Python questions. But all very tailored to my previous experience.
Brain teasers. Find the fake coin out of 9 by 2 weightings.
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