I am going to attend an on-site interview at ING. They said they are going to give me a written test on programming (Matlab, C++ and MSSQL) and finanical math without specifying the focus.How should I prepare for it?Your input appreciated!

I took it 3 years ago. In addition to what are mentioned. You will definitely find some probability teasers. Also, the fin math part would involve simple Black-Scholes questions, questions on product knowledges and may be simple strategies.

any help please?

<t>This is a market risk manager role, not a quant role. The job description does not specify the asset class(es) to be covered, although I guess the firm's major exposure would be in Equity and FX. What kind of questions should I expect from such an interview? As I mainly possess a quant background...

<t>In my firm, I do see people get transferred to trading desks and become desk quants there after 3-5 years experience in MV. I guess it really depends on your manager's attitidue towards it.I have been in MV for 2 years. True that MV gets less bonus, but it is also less stressful. I got to develop...

Perhaps go and get a MFE?

So... how should one proceed to find some good HHs?

Thanks for the helpful info!Does anyone happen to know how interviews go in HK? Are they like those in US where you will be interviewed by most of the team members and asked all sorts of brainteasers, tehnical and programming questions?

<t>QuoteOriginally posted by: dtddont worry about backing out spreads. abx indices are trading in $ terms and pricing to crazy cummulative loss rate. typically the indices imply about 15+ home price depreciation over next few years.Thanks all for your responses. I sorta know that most prepay / defau...

Hi,I wonder what is the standard way (if there is one) to back out the ABX spread from the market price? What CPR, CDR assumptions are used? Also, how are the risks (the 01's) calculated?Any paper / reference would be highly appreciated.

<t>QuoteOriginally posted by: quantystHi QuantR,After all, despite my 'unwarrented' assumption about uniformity and independence of all X(1), X(2), ..., on the same set {1,2, ...,N}, it turns out that although X(i) is dependent on all X(j) with j<i, we have P{X(i) < a} = a/N. To see this, begin with...

Isn't it the Brachistochrone curve?

Has anyone looked at this paper by Massimo Morini and Damiano Brigo on arbitrage-free pricing of credit index options?http://www.defaultrisk.com/pp_crdrv155.htmAny comment on this work?

I guess the answer to 4. is 61. My sequence is:7 6 8 20 21 49 61 120 170 302 459