Market risk interview questions

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charlie_r

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I have a preliminary interview set up for an internal job in Market Risk Management (large UK IB) and I was hoping for some advice on what questions to expect. My background is MSc and CFA 1 (so far..) and currently in Product Control.
Does anybody have some good example questions or themes from previous interviews/ experience? I’m anticipating questions on VaR calculation and how the greeks work but feel I must be missing something.
Any thoughts/ wisdom/ examples….?
Cheers
 
When I interviewed for my job (Analyst - MRM), most of their questions (conceptual) were centred around Duration, Partial Duration, and Convexity.
But I’d assume you definitely need to be prepared for questions on VaR and greeks.
 
charlie_r Wrote:
——————————————————-
> I have a preliminary interview set up for an
> internal job in Market Risk Management (large UK
> IB) and I was hoping for some advice on what
> questions to expect. My background is MSc and CFA
> 1 (so far..) and currently in Product Control.
>
> Does anybody have some good example questions or
> themes from previous interviews/ experience? I’m
> anticipating questions on VaR calculation and how
> the greeks work but feel I must be missing
> something.
>
> Any thoughts/ wisdom/ examples….?
>
> Cheers
Just mention that you are not Nick Leeson and you should be golden.
 
in addition to what kevin said, i would know derivatives well (swaps, options, caps, floors).
 
MrDonadei Wrote:
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> Is this bank in North Colonnade?
That would be telling… Why, are you there?
Thanks for input guys. Sounds pretty much like what I’ve been like I had the right sort of questions in mind.
FYI, have been leant a book called ‘Value at Risk’ by Philippe Jorion, which I am told is the bible on VaR.
 
VaR sucks! I can’t believe that garbage of a measure is still surviving after this mess. I love how banks are infatuated with VaR. I can give you a VaR number but guess what it means jack sh!t. 95% of the time we expect to lose at least $200M, oh well how much do you expect to lose the other 5% of the time? Oh and how well did VaR work in the past 1.5 years? Sorry, rant off.
 
bigwilly Wrote:
——————————————————-
> VaR sucks! I can’t believe that garbage of a
> measure is still surviving after this mess. I
> love how banks are infatuated with VaR. I can
> give you a VaR number but guess what it means jack
> sh!t. 95% of the time we expect to lose at least
> $200M, oh well how much do you expect to lose the
> other 5% of the time? Oh and how well did VaR
> work in the past 1.5 years? Sorry, rant off.
Good point there, bigwilly.
Charlie, maybe you could check out the CBOK of the FRM exam on GARP’s site and look up on Wikipedia or somewhere more reliable on those subjects that you find to be unfamiliar but important.
 
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