Martingale process, stochastic differential equations, multivariate stochastic process, correlation, put-call parity, bond payoff, BSM model. A bit on data cleaning concepts. Very little coding .
Model Risk Interview Questions
131 model risk interview questions shared by candidates
Resume Questions in detail simple
They asked the detail methods in your resume.
What do we call type I and type II error in hypothesis testing?
Technical skills, based on CV. Talked about the details of implementations.
Did you let any team member go or gain an underperforming team member ?
1. for statistical analysis tools, be prepared to answer a school course work or project in your work. give him some details. 2. be prepared for every bullets in you resume that is relevant to the duty of this position. 3. the logic of calibrating yield curve factors for the model I once worked for. I did not answer it well...
Credit risk, model risk, linear and logisitic regression
What your friends would tell about you?
basic math, e.g. CLT and programming question, e,g, what is OOP
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