Solving a difficult exercises which takes more time
Senior Quantitative Risk Analyst Interview Questions
243 senior quantitative risk analyst interview questions shared by candidates
How would you define stationarity in the context of time series/stochastic processes? Is the Wiener process stationary?
1. VaR and 3 valuation methods; explain their advantages and disadvantages respectively 2. Difference between VaR and ES 3. PnL; 4. Interest Rate Swap related; 5. PnL and portfolio risk estimation
Explain procedure invoked in forecasting models
How do you understand risk management?
1. Probability using dice. Roll 2 dice what is the prob of getting 4? 2. Correlation of x=2y (in depth reasoning about correlation and ols assumptions) 3.Expected value: formula and definition 4.Financial instruments characteristics and differences. 5.Greeks 6.Data structures and algorithms. 7.cherry on the top: brain teasers with factorial numbers.
CV related questions, puzzles, finance
Go through the resume, and they may ask you about some basic risk related questions.
Q: Can you explain how to you tackle new coding languages/projects?
Brain teasers and Monte Carlo Simulations
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