Barings Risk Analyst interview questions

Cold call from the managing director. Started off by saying that the interview "will only take 10 minutes." I was anticipating something along the lines of a brief overview of my resume. The next words out of the manager's mouth was "can you mathematically derive the negative convexity function of a mortgage-backed security?" Some other technical questions were thrown in, mainly to do with SQL and MATLAB. Wasn't really expecting this interview to be so technical. The manager also gave off a weird vibe... defensive and almost nauseously snooty. I couldn't get one sentence out before he interjected. I asked about the history of the position, and he blurted out "Why are you asking that? What's the purpose? No one ever leaves my group. People want to get IN my group." "No... I was just wondering if this is a new position or-" "I have PhDs working for me. They all stay here. Why are you asking this?" Insanity.