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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...”

“How do you work in a team? Leadership?”

“Asked my experience with ISO even though I worked with IPP and my ability to display mark-to-market reports in different formats.”

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

“Why are you seeking employment”

110 of 12 Interview Questions