Value at Risk, Expected shortfall, idiosyncratic risk.
Quantitative Risk Interview Questions
243 quantitative risk 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.
Brain teasers. Find the fake coin out of 9 by 2 weightings.
Go through the resume. Then one question about how to determine the number of variables in a regression. How to do PCA in R.
Some behavrioal questions
Tell me about your project and what you have accomplished.
Skewness of the expected payoff of an options position (which I can't remember right now).
Why do you think you are suitable for this role ?
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