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Risk analyst Interview Questions

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Tell me the different ways that you can calculate VaR (Value at Risk).

2 Answers

I think I said Monte Carlo, delta, gamma and Black-Scholes.

Typically there are 3 ways in the industry to calculate VaR: 1. Historical (by far the most common, IME) 2. Parametric (not very useful, as returns tend to not be normal, unless you use EVT) 3. Monte Carlo (more often used in fixed income and other credit/debt portfolios than other asset classes)

Which specific balance sheet items would you look at to determine a company's credit worthiness?

3 Answers

What is VaR and what are the different methods to calculate it?

2 Answers

Why Deloitte?

2 Answers

Discuss the flaws of Black-Scholes.

2 Answers

How do you decide which discount curve to use when valuing future cash flows of financial instruments (bonds, IRS,...)?

1 Answer

Nothing too unusual, however they did ask 2 brainteasers during the phone interview which I didn't expect at this stage. If it takes 2 people 2 hours to build 2 bikes, how many people are needed to build 12 bikes in 6 hours?

2 Answers

questions based on behaviours in Bc

1 Answer

After describing the business model. What sort of risks should be the main focus for a Firm like this.

1 Answer

why BDO? why this sector?

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