They asked about my familiarity with Python.
Risk Modeling Analyst Interview Questions
195 risk modeling analyst interview questions shared by candidates
Technical questions, such as mathematical problems, pricing options, knowledge about volatility. 30 minutes phone interview with about 10 short questions.
Monty Hall Problem What is the difference between the Q and P measures? What is the difference between VaR and expected shortfall? What is the test for stationarity of a time series? What is N(d2) in Black-Scholes? What is the parameter d in an ARIMA model? How are returns distributed? Why use returns instead of prices for modelling? How does an asset's spot price relate to its forward price? How is bond's duration affected by a change in interest rates? What are current research issues in options pricing? Write code to merge these dataframes (in real time, write code for a Pandas merge, groupby, and apply) How would you value a call option on a stock if the option has infinite time to maturity? Describe any completely independent research you have undertaken How do you value an interest rate swap?
If you roll 2 dice’s what is the possibility the sum of points is bigger than 6?
1. What is the recent news? What is its influence on the economy? 2. Suppose you are giving a presentation in 5 minutes and find there is an error . What would you do?
Statistics, Stochastic process, Coding questions
some stochastic problem: forward measure... how to use price models?
The working of XGBoost and various deep learning models
Mainly quantitative questions which can be found on interview books, and technical questions on projects on CV.
Describe how you would perform a model validation
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