Risk Analyst Interview Questions

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)

Index / fx correlation

Be honest. I answered that I wanted to be in a more proactive role where I could have a personal impact on the day to day running o the business.

Make sure you are very familiar with current affairs

Read about the culture, the values and commitments on the company website

You need to answer in the STAR approach. Think about what you changed? Why you wanted to change? How did you communicate this? What were the obstacles from a process and people perspective. Was the change implemented? What doid you learn from this? Would you do anything differently if you had to do the same task again?

Answer in STAR approach and run through the most relavant and significant steps. Avoid being too descriptive