Market Risk Analyst Interview Questions | Glassdoor

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

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

1 Answer

Tell me about yourself. Basic statistics and probability questions. Explain value at risk.

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

Bonds cash flow analysis.

1 Answer

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 time. How will the option price change if the BSM assumption is not log normal distribution.

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