I applied through an employee referral. I interviewed at BNP Paribas (Paris) in Apr 2023
Interview
It was my first interview and I wasn't prepared for a technical one. It had to do with explaining different part of the mathematics used in finance as well as explaining how the model works and such things
Interview questions [1]
Question 1
Explain how to derive the close form of a call given by the B&S model
Several rounds with teams of two marker risk officers , focusing mostly on logical reasoning and brain teasers, capital markets knowledge (e.g. gold or s&p 500 price), Greeks / derivatives and risk related questions. I'd say it's relatively difficult
Interview questions [1]
Question 1
Describe a combination of options where you are long vega, flat delta
I applied online. The process took 3 months. I interviewed at BNP Paribas
Interview
Four rounds of technical interviews were conducted virtually over a three-month period. The interviewers were thoughtful, respectful, and professional beyond my expectations. The technical questions were a mix of pure quantitative and insight-driven questions.
Interview questions [1]
Question 1
How to interpret the term structure of credit spread. Is it always upward sloping?
What is basis risk? How to hedge basis risk?
How to replicate the digital option pay-off?
