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Model Validation Interview Questions
132 model validation interview questions shared by candidates
Formule de Black Scholes et EDP Black-Scholes. Re démontrer ces formules.
Can’t recall, generic questions about previous relevant experience.
Tell me about yourself? Do you know what is XXX's accuracy measurement?
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
What's Bond Duration and Bond Convexity Explain PCA An example of polluted data and how to fix it
How to determine a decision threshold using the ROC curve.
The interviewer went into the very details of the model.
stats, probability, Coding (C# MATLAB PYTHON), simple financial engineering questions.
How do you manage the deadlines?
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