About marginal Gaussian distribution of random variable, non-linear dependence, correlation, others on aggregating financial risk.
Risk Modeling Interview Questions
61 risk modeling interview questions shared by candidates
What are you expert in?
The last question was about my visa status. After I pointed out that I am a student with a F-1 visa and will require sponsorship in the future. He apologized that as of that day they won't accept candidate with F-1 visa...
Most questions are relevant to credit risk modelling.
Tell me about yourself.
En tant que stagiaire, les questions posées étaient relatives à mon parcours universitaire. exemple : "parles moi un peu de tes etudes à l'université ? " , "expliques moi quelle est la problématique de ton mémoire" , ...
TELL me about the details of the project in your resume. Which part have you done?
1. derive Black-Scholes model 2. derive linear regression coefficient and assumption for linear regression 3. principal component analysis 4. how to deal with collinearity 5. prove that covariance matrix is semi-definite 6. linked list, tree for algorithms 7. moment generating function This is so far I could remember
Why retail banking?
Basic statistics and econometrics questions, they may vary depending on your background.
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