Model validation quantitative analyst Interview Questions

10

Model Validation Quantitative Analyst interview questions shared by candidates

Top Interview Questions

Sort: Relevance|Popular|Date
MSCI
Quantitative Model Validation was asked...4 April 2018

If you have an option that pays you 5 dollar when the stock price hit $10. The stock price is currently $5. What is the price of the option?

1 Answers

You can replicate the option payoff by buying the stock. If you buy the stock and sell it when the price hits $10, your payoff would be $5 which is exactly the same as the option payoff. So the option is priced at 5 USD. Less

MSCI

What id the implied volatility? Why do we observe volatility smile?

1 Answers

Implied volatility is the volatility that makes the BS price match the market price. Volatility smile may be caused by the jump in the FX rate or stock return not normally distributed. Less

Nomura Holdings

Stochastic Calculus and pricing derivatives.

Citi

How to test model performance? How would you decide what model to use?

J.P. Morgan

Describe internal compliance procedures in your current company.

UBS

Why UBS? Why this position?

MSCI

First round for a phone interview with statistics and finance staff. Second round on a written test with 9-10 questions on options and bonds, like a programming project. Third round, which is the final round, for a spec interview. An inside paper was sent 1 hour before the presentation and then asking questions related to the paper.

FINCAD

normal distribution, log-normal distribution, how do you compute mean of log-normal distribution in terms of the mean and variance of the underlying normal distribution, Brownian motion, Ito's Lemma, Black-Scholes formula, what are the differences between forwards and futures, what is the swap, how do you price the swap, how do you output correlated random variables with a prescribed coefficient of correlation

Quantiphi

tell me about the methodology of LSTM

U.S. Bank

Why are you interested in modeling.

Viewing 1 - 10 of 10 Interview Questions