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Citibank Senior VP Quantitative Finance Interview Questions

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Senior VP Quantitative Finance Interview

28 Jun 2026

Anonymous interview candidate

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I applied online. I interviewed at Citibank (New York, NY) in Jun 2026

Interview

Explain negative convexity in MBS, what are the differences in hedging MBS between swaps, swaptions, TBAs? Why MBS cash flows are not static? What is the basis risk in MBS? What is the cheapest to delivery option for TBA? How would you perturb market data?

Interview questions [1]

Question 1

Explain negative convexity in MBS,

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Senior VP Quantitative Finance Interview