Fundamental stats questions like define std. dev. (I was prepping to talk about kurtosis and the different infinities); Asked to explain a concept without using words(draw, don't dance); interesting brain teaser that I probably shouldn't give away and they probably won't reuse anyways. It will be about your experience and why you would be a great fit. Know why you want the job and know about the things you say you know on your resume.
Are you familiar with stochastic modeling?
they gave me some exotic pricing calculation to complete within 10mins.
Why are you interested in market risk management?
Let's do a time series analysis of a stock where I have the past 100 ending prices. How do I evaluate my risk for this stock
Why risk neutral world for pricing derivatives? Why it works?
tell me more about your work experience?
Technical questions like regression, SAS programming
work experience. Knowledge of markets. Basic risk questions.
What is your strength? Why do you want to apply for this position? What is VaR? How would you value a swap?
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