I applied in-person. The process took 4 weeks. I interviewed at Citi in Sept 2009
Interview
There were 3 interviews in total, with all senior team members. Different scope – from product knowledge to technicalities and math. Was asked to write down formula for forward rate, price an interest rate swap. Also questions about delta, hedging, how to optimize portfolio of two assets, etc. Was asked about my product experience.
Interview questions [1]
Question 1
How do you optimize protfolio of two assets? Derive all the necessary formuals, plug in some numbers.
Straightforward, the interviewer asked me a couple of questions, some basic and others a little bit more difficult. Normal related to the field questions. Went over my previous experience and qualifications specific to the role I was applying for, where the interviewer tried to assess whether I was capable of doing the actual job.
Interview questions [1]
Question 1
What kind of work did you do with python? Which libraries and commands did you mostly use?