Interest Rate Derivatives Analyst Interview Questions


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J.P. Morgan
Interest Rate Derivative Analyst was asked...September 17, 2017

4 questions, 1st programming about sorting, 2nd probability, 3rd interest rate SDE, 4th brain teaser

J.P. Morgan

How would you implement a steepening or flattening strategy? If Greece defaults which bonds would you buy? How would you hedge a 2 year bond with 10 year bonds? If the interest rate curve is upward sloping, is the forward curve above or below the yield curve?


Technical questions such as option pricing, BGM, measuring volatility, etc.

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