Market Risk Analyst Interview Questions

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“10 yr bond with 9% coupon, market yield is 3%, what's the price of this bond?”

“Name the main greeks and how they are derived.”

“What is expected shortfall?
What are the strengths and weaknesses of historical simulation, Monte-Carlo simulation, and Variance-Covariance method in VaR calculation?”

“What is Greeks, duration, convexity. The formula using them to calculate asset price.
How will you spend your 100 million.
What book you read recently.
How will commodity price change during war…”

“What if the VaR is too small and the loss can be ignored?”

“Why are you seeking employment”

“Derive finite difference method for option pricing from B-S PDE and explain the difference between explicit and implicit finite difference”

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