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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?

3 Answers


~151.. assuming par value of 100

4.5*((1-(1+0.03/2)^-20)/0.015)+100/(1.015)^20 = 151.51

Name the main greeks and how they are derived.

2 Answers

What did the FED announce was happening in December? How is the market looking currently?

1 Answer

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

1 Answer

What is gamma? what is delta?

1 Answer

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

1 Answer

Why does the rise of interest rates affect bond prices?

Let's do a time series analysis of a stock where I have the past 100 ending prices. How do I evaluate my risk for this stock

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