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Quantitative Interview Questions
10,167 quantitative interview questions shared by candidates
How would you develop a credit rating tool? Technical stuff about my previous job experience. Minor programming questions (i.e. how would you join two tables)? A bit of statistics.
Why would you like to work in an investment bank?
How is a Markov chain defined? What is a transition matrix. How could it be used to model credit ratings? If you had the transition matrix for 1 year, how would you calculate the transitions for more than 5 years?
What is Value at Risk? What is its mathematical definition?
How would you go about doing a regression for the default probability based on other data? What steps would you go through? How could you examine the model's performance?
FRTB at the oral interview
For statistics, ridge, ols, kalman filter.
What was a major issue you've encountered and how did you solve it?
How do you find a integer from a list of integers?
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