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      Market Risk Quantitative Analyst Interview

      1 May 2021
      Anonymous employee
      Kraków
      Accepted offer
      Neutral experience
      Difficult interview

      Application

      I applied through a recruiter. I interviewed at HSBC (Kraków) in Jun 2019

      Interview

      The hiring process consisted of 2 interviews. The 1st interview was with the hiring manager and his boss. The 2nd interview was with the MD. The overall impression is neutral. However, the first interview was more pleasant as the interviewers were trying to fairly estimate your knowledge level, whereas the 2nd interview was more tricky and contained lots of questions that are not really relevant for that exact role and level of seniority. If you are FRM, then by default it created a better impression about the candidate.

      Interview questions [1]

      Question 1

      Interview 1: Walk me through your CV. Technical questions on probability distributions (normal, uniform etc), VaR, ES. Arithmetic returns vs log-returns. What returns to use where. Taylor series. Interview 2: stochastic volatility, volatility smile, the Greeks, delta hedging for calls & puts
      Answer question