I applied through a recruiter. I interviewed at CRISIL (London, England) in Sept 2020
Interview
Two interviews back to back online. One with a manager and the other with an associate on the team I would be working with. The associate interview was a good conversation. The manager interview was a joke. The person was hard to understand, using a terrible microphone setup and was constantly being distracted by something going on in their household.
Turned off their camera twice and muted themselves multiple times to talk to someone off screen while I was answering questions. Incredibly rude and distracting.
How would you calculate Value at Risk (VaR)?
2. What's wrong with VaR as a measurement of risk?
3. What is non-Linear VaR? How would you calculate it?
4. What is the parametric method of calculating VaR? What are its advantages?
5. What is the historical method of calculating VaR? What are its advantages?
6. Why would you calculate VaR using Monte Carlo simulations?
7. What are the challenges in calculating VaR for a mixed portfolio?
8. What's GVAR? How can you calculate it?
9. What is the one-day VaR of a $50m portfolio with a daily standard deviation of 2% at a 95% confidence level? What is the annualized VaR?
10. What do you know about extreme value theory?
11. What is Expected Shortfall? How is it calculated?
Interview questions [1]
Question 1
How would you calculate Value at Risk (VaR)?
2. What's wrong with VaR as a measurement of risk?
3. What is non-Linear VaR? How would you calculate it?
4. What is the parametric method of calculating VaR? What are its advantages?
5. What is the historical method of calculating VaR? What are its advantages?
6. Why would you calculate VaR using Monte Carlo simulations?
7. What are the challenges in calculating VaR for a mixed portfolio?
8. What's GVAR? How can you calculate it?
9. What is the one-day VaR of a $50m portfolio with a daily standard deviation of 2% at a 95% confidence level? What is the annualized VaR?
10. What do you know about extreme value theory?
11. What is Expected Shortfall? How is it calculated?
I applied in-person. The process took 4 days. I interviewed at CRISIL (Bengaluru) in Aug 2021
Interview
5 rounds of interview with all levels of people's at the organisation
It was a clear transperant process
Each and every round of interview was not so difficult but at the same time it was very different and unique