这是过去个人找风险管理/金融工程方面的工作，所碰到的面试问题，现整理如下。

Risk management-Technical questions


Market risk

• VaR
• How many approaches are there to calculate VAR? What’s the assumption and weakness of these approaches?

oDelta-normal method
oDelta-gamma approach
oHistorical simulation
oMonte Carlo simulation

• How to sample the variable from the stochastic process?
• How to get μ and σ?---from historical data
• Given two columns of market data, please use SAS, EVIEWS or MINITAB to calculate ß? Using two methods.
• Given the risk matrix of a derivative, for example, foreign currency swap, how to calculate the VAR? What factors will you consider when calculating VAR?

oDomestic interest rate
oForeign interest rate
oForeign exchange rate
oHorizon
oConfidence interval

Credit risk

• The drivers of credit risk
• How to measure credit risk?
• Credit Default Swap (CDS): definition; how to value (three methods)

oActuarial method: from historical data
oCredit spread: spread between treasury bill and corporate bond
oMarket price: Merton model

• CDO (Collateral debt obligation)
• Credit VaR
• Merton model
• CreditMetrics

Interest rate derivatives

• How to value interest rate derivatives? What’s the assumption and weakness of these models?
• Trinomial tree: the tree-building procedure
• Standard method: variants of Black’s model
• Model of short rate:

oEquilibrium model: Rendleman and Bartter, Vasicek, Cox, Ingerlol and Ross
oNo-arbitrage model: Hoo-Lee; Hull-White
oHow to use Hull-White to value interest rate derivatives

• HJM/ Libor market model

Basel Accord

• Main content of Basel Accord II?
• How many approaches do commercial banks can use in calculate credit risk charge?

oStandard approach
oInternal rating approach
oAdvanced internal rating approach

• What’s the assumption of IRP?

Other

• Exotic option: Barrier option/ Asian option/ Bermuda option
• European option/ American option
• Under which circumstance that the American option has the same value as European option
• If interest rate increases, how does the values of call/ or put option change?
• If the volatility increase, how does the values of call/ put option change?
• Interest rate swap: how to value?
• Interest rate forward: how to value?
• Taylor expansion
• Duration/ convexity
• Greek letters
• Cap/ Caplet
• How to calculate forward rate: given two spot rates

转自http://www.riskassociate.com/redirect.php?fid=112&tid=1390&goto=nextoldset。