Explain the math behind pricing options (as elaborately and extensively as you can)
Model Risk Interview Questions
256 model risk interview questions shared by candidates
Mostly related to modeling and risk policy, Basel rules. Overall was a meh experience. HR didn’t send the proper JD so there was miscommunication on the role I was applying for. 2 interviewers from dept. Interviewers were not professional asking personal questions.
About marginal Gaussian distribution of random variable, non-linear dependence, correlation, others on aggregating financial risk.
What do we call type I and type II error in hypothesis testing?
How to Calculate VaR upon a stochastic process, why expected shortfall is subadditive, what should we do before a regression analysis.
Why UBS? Why this position?
Could you model autoregressive model in Python?
Most questions are relevant to credit risk modelling.
Technical skills, based on CV. Talked about the details of implementations.
Preguntas sobre algunos estadísticos y sobre probabilidades de default
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