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Solve Market-Risk and Probability Questions
Quantitative Interview Questions
Answer the following quantitative interview questions for a market-risk role:
- Stress testing WTI and Brent
Design a stress-testing framework for the joint behavior of WTI and Brent crude oil prices over a chosen horizon, such as 1 day or 10 days. Describe:
- what data you would use;
- how you would model each series marginally;
- how you would capture dependence between them;
- whether and why a t-copula is appropriate;
- how you would generate joint stress scenarios;
- how you would validate the framework and communicate its limitations.
- Variance of a sum of normal variables
Let
XandYbe normally distributed random variables with variancesσ_X^2andσ_Y^2.- If
XandYare independent, what isVar(X + Y)? - If they are dependent with correlation
ρ, what isVar(X + Y)?
- If
- Monty Hall problem There are 3 doors. One door hides a car and the other 2 hide goats. You choose one door. The host, who knows where the car is, opens a different door that contains a goat and offers you the chance to switch to the remaining unopened door. Should you switch, and what is the probability of winning if you stay versus switch?
- Eight balls, one heavier You have 8 visually identical balls, but exactly one is heavier than the others. Using a balance scale and at most 2 weighings, give a strategy that always identifies the heavier ball.
AI interview prep
Core dilemma
Designing a robust, realistic, and defensible quantitative framework for modeling complex, non-linear dependencies between financial assets under extreme market conditions, balancing model complexity with interpretability and computational feasibility for critical risk management decisions.
Mid-level signals3
Senior signals4
Red flags4
3 tradeoffs and 3 stress tests locked
Interview prep
Unlock the interviewer X-Ray rubric, tradeoff matrix, stress tests, clarifying questions, and key concepts.
Solve Market-Risk and Probability Questions
Quantitative Interview Questions
Answer the following quantitative interview questions for a market-risk role:
- Stress testing WTI and Brent
Design a stress-testing framework for the joint behavior of WTI and Brent crude oil prices over a chosen horizon, such as 1 day or 10 days. Describe:
- what data you would use;
- how you would model each series marginally;
- how you would capture dependence between them;
- whether and why a t-copula is appropriate;
- how you would generate joint stress scenarios;
- how you would validate the framework and communicate its limitations.
- Variance of a sum of normal variables
Let
XandYbe normally distributed random variables with variancesσ_X^2andσ_Y^2.- If
XandYare independent, what isVar(X + Y)? - If they are dependent with correlation
ρ, what isVar(X + Y)?
- If
- Monty Hall problem There are 3 doors. One door hides a car and the other 2 hide goats. You choose one door. The host, who knows where the car is, opens a different door that contains a goat and offers you the chance to switch to the remaining unopened door. Should you switch, and what is the probability of winning if you stay versus switch?
- Eight balls, one heavier You have 8 visually identical balls, but exactly one is heavier than the others. Using a balance scale and at most 2 weighings, give a strategy that always identifies the heavier ball.