Market risk analyst Interview Questions
419
Market Risk Analyst interview questions shared by candidates
Brain Teaser: A snail goes up 3 feet during the day and falls 1 foot at night. How long does it take him to go up 10 feet?
6 Answers↳
It doesn't say how long does it take him to make it ten feet up the wall. It just says, how long does it take for him to move up ten feet. That's 3 1/3 days (assuming equal movement throughout the day). Although he will have moved "up" ten feet, he will have also fallen back and will not be ten feet up the wall. Of course, you can also interpret it as the other answers suggest. Less
↳
4 days and 16 hours 16 hours because by the end of the 4th day, it is 8 feet up on the wall and only needs to climb up 2 feet. Well, assuming that the snail travels 3 feets uniformly throughout the day, then it needs to travel an additional (2/3)*24 = 16 hours for it to climb up that extra 2 feet for it to be at the height of 10 feet. Less
↳
4 days and 8 hours, assuming the day is 12 hours long and the night is 12 hours long. Almost agree with the >4 days answer above, however not quite agree with the (2/3)*24=16 hours part. The snail climbs 3 feet in the day, which would definitely be shorter than 24 hours. If we assume the day means 24/2=12 hours. on the 5th day, the snail took 2/3*12=8 hours to reach 10 feet. So that would be 4 days and 8 hours, assuming the day is 12 hours long and the night is 12 hours long. Less
Tell me the different ways that you can calculate VaR (Value at Risk).
2 Answers↳
Typically there are 3 ways in the industry to calculate VaR: 1. Historical (by far the most common, IME) 2. Parametric (not very useful, as returns tend to not be normal, unless you use EVT) 3. Monte Carlo (more often used in fixed income and other credit/debt portfolios than other asset classes) Less
↳
I think I said Monte Carlo, delta, gamma and Black-Scholes.
Hedging strategy in different scenarios?
2 Answers↳
Little bit of derivate knowledge and common sense
↳
What's the package for risk analyst?
10 yr bond with 9% coupon, market yield is 3%, what's the price of this bond?
2 Answers↳
~151.. assuming par value of 100
↳
151
