Deutsche Bank Intern Quantitative Risk Management Interview Questions

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Intern Quantitative Risk Management Interview

Mar 17, 2022

Anonymous employee

Accepted offer

Positive experience

Difficult interview

Application

I applied online. The process took 4 weeks. I interviewed at Deutsche Bank (Berlin) in Mar 2022

Interview

Two interviews, one with HR and one technical. The whole application process lasted about 1 month. Responses were fast (day after interview). The technical interview was pretty mathematical and statistical. A general preparation for basic questions about statistics, financial math and stochastic process is beneficial. Reading a basic paper about quantitative paper might be a bonus point. HR interview was in German, technical interview in English.

Interview questions [5]

Question 1

Tell me a bit about yourself and your experiences (work, university). Based on this, some technical questions might be asked.

1 Answer

Question 2

How is a Markov chain defined? What is a transition matrix. How could it be used to model credit ratings? If you had the transition matrix for 1 year, how would you calculate the transitions for more than 5 years?

Answer question

Question 3

What is Value at Risk? What is its mathematical definition?

Answer question

Question 4

How would you go about doing a regression for the default probability based on other data? What steps would you go through? How could you examine the model's performance?

Answer question

Question 5

How would you define stationarity in the context of time series/stochastic processes? Is the Wiener process stationary?

Answer question

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Intern Quantitative Risk Management Interview

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Intern Quantitative Risk Management Interview