Quantitative risk analyst Interview Questions


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Goldman Sachs
Quantitative Risk Analyst was asked...October 2, 2010

gambling question, whether it makes sense to gamble, if the chances are very small. Calculate the odds someone will take the grand prize if one million people goes, and odds are 1 in 1 million for each entry.

4 Answers

Odds are: 0.3678792572210609 that no one wins, i.e. 0.632120742778939 that someone wins. The number e is not related to this problem; it is the limit of (1+1/n)^n. Here we have odds of (1-1/n)^n that no one wins. Less

poisson as limiting cxase if binomial distribut5ion. Large number of trials with small prob. Thus Lambda = 1. find prob n = 0 in poisson with lambda = 1 = 1-1/e. Less

1/e = 0.3 1/1000000 is very small, so actual odd approaches the limiting case of 1/e. Less

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How would you approximate pi?

1 Answers

The sine function has a zero in pi, so you can use a numerical algorithm to approximate the zero (ex. Newton's method). Less


Do you have experience in Economic Capital Modelling?

1 Answers

Yes, to some extent.

Credit Suisse

Can you calculate the delta of an option without using the precise formula for delta (the variables are given).

1 Answers

I guess one need to use Taylor's series to bypass the N(.) i.e. the cumulative distribution calculation. Less


find the 2nd maximum value in an array. describe importance sampling Can Black Scholes be used to price barrier options?

1 Answers

The answer to the third question (BS pricing barriers) is yes, there is literature about this. Less

JPMorgan Chase & Co

Q: How do you calculate an eigenvalue

1 Answers

You can describe the process of solving for lambda using determinants.


Explain your research (for 4 times).

1 Answers

How to reduce dimension when you do regression? What is Brownian motion/Martingale? Give an example that is a Martingale but without Markov property. Less


What risks are involved with holding 100 shares of Apple?

1 Answers

Could you please tell me how long did we wait before having a feedback after your pre-screened interview? Because I have been told to record a video for the two divisions I have applied to and I have not received any feedbacks so far. Thank you :) Less


What is your minimum salary requirement?

1 Answers

What was the length of time between the end of the 6-hour, on-site interview and them offering you the position? Less


Why did you chose npower?

1 Answers

Healthy atmosphere.

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