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zmfactor
Topic Author
Posts: 13
Joined: June 22nd, 2009, 6:15 pm

Interview Prep - Rates Risk Manager

February 24th, 2017, 2:59 pm

Interview with a Wall Street bank, for the position of Rates Risk Manager. 
What does one need to know for the interview?
What kind of questions should one expect?
 
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Samsaveel
Posts: 435
Joined: April 20th, 2008, 5:47 am

Re: Interview Prep - Rates Risk Manager

February 26th, 2017, 4:52 am

1) At the portfolio level: P&L, P&L attribution, Sensitivity's, and Risk measures (VaR, SVaR, ES)
2) Models, Calibration, and Market data
3) Risk Capital- Regulatory & Risk capital under Basel pillar 2 Internal Capital Adequacy Assessment. This includes quantification of risk capital.
4) Stress tests & Scenario Analysis.

On Top of that, A good knowledge of the latest market trends, global and local policy direction, Political risks, Geopolitical risk flashpoints, and be able to map movements in P&L at portfolio and desk level to market events.
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