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
What are your strengths and weaknesses? What did you like least about your last job? What was the last project you headed up, and what was its outcome? Have you ever been on a team where someone was not pulling their own weight? How did you handle it?
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).
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