I had a phone screening and then I had I think 4 interviews - some with risk managers and others with traders. The risk managers asked me a lot about my current experience in risk and to explain the strategies I was currently working with. They expected me to know the ins and outs and every detail of the trading strategies that I worked with and the research papers that I wrote and I did know every detail. The one trader gave me a few different products and asked about trading scenarios to get an idea of how I think about risk/hedging. They were mostly easy. The other trader was very tough and asked me many details on curve trading strategies, which I didn’t know because I don’t work on curve trades and I don’t cover that desk now so I’m not that familiar with those strategies nor with calculating convexity/duration on them, which is what I was asked. I also got a number of questions on mbs trades and was asked to explain the end to end on mbs trades from how they are originated to how they are impacted by rates changes and of course, how prepayments impact duration. I knew these details on mbs trades. In final round I was asked again about mbs trades and answered the questions correctly. I was asked if I knew how to code (I don’t). They were very interested in my work history as a risk manager. I got a call a month later to tell me that I didn’t get the job. They said that I did pretty well on the technical questions but that they were going with an internal candidate.