Market Risk Analyst Interview Questions
462
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↳
similar question http://brainteaserbible.com/interview-brainteaser-snail-drainpipe-climbs-falls-at-night-how-long-reach-top Less
↳
Almost seems too easy...you could simply say that the snail goes up 3 and down 1 every day, so it nets 2 ft which at that rate would take ten days. IMO, i think its important to ask what time of day it starts on the first day to give a more accurate answer... Also geographic location (it could be Barrow Alaska during winter, completely changing your answer. Less
↳
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
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?
How do you decide which discount curve to use when valuing future cash flows of financial instruments (bonds, IRS,...)?
1 Answers↳
I have no idea on this one.
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