SDE , numerical methods , VaR , stochastic calculus, statistics, OOP
Quantitative Risk Management Interview Questions
15 quantitative risk management interview questions shared by candidates
Tell me a bit about yourself and your experiences (work, university). Based on this, some technical questions might be asked.
Brain teasers.
How is a Markov chain defined? What is a transition matrix. How could it be used to model credit ratings? If you had the transition matrix for 1 year, how would you calculate the transitions for more than 5 years?
What is Value at Risk? What is its mathematical definition?
How would you go about doing a regression for the default probability based on other data? What steps would you go through? How could you examine the model's performance?
Please name all linear regression assumptions
Construct a digital option at a specific strike price using vanilla European options.
every question is about my resume. not very unexpected
How would you define stationarity in the context of time series/stochastic processes? Is the Wiener process stationary?
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