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mrme
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Joined: October 6th, 2004, 1:25 am

First interview quant modeler

January 2nd, 2007, 10:14 pm

next week I will have an interview for the quant modeler position for the risk department of a regional bank. I have posted the information on the position below. I am coming from corporate finance background. Empirical finance, like Fama French model, event studies etc, mostly cross sectional, no time series model. However, I have attended courses on mathematical finance, stochastic calculus and panel data econometrics from mathematics and economics departments. Right now working towards my phd in finance from business school, final year.What type of interview should I expect. Any case? or is it mostly brainteasers and experience. Any links for typical question in quant interviews?. Both Interviewees have phd, phd in physics and mathematics. I appreciate your help. Thanks.***********************************This group works with internal business service partners, including credit portfolio management, capital markets, operational risk group, sales and marketing groups and senior management to provide modeling, model validation, and quantitative analysis of risk and performance. The position to be filled is in the Quantitative Modeling Group within Risk Management and will provide timely and informative analysis as requested by service partners and senior management. The incumbent will also participate in building, maintaining, and validating models (such as operational risk model, credit portfolio models, capital market pricing and risk models, etc). Additionally, the incumbent will communicate the analysis results and explain the models effectively to service partners, senior management and regulators.EDUCATION AND EXPERIENCEThe ideal candidate must be of PHD level in math, physics, statistics or similar quantitative subject with thorough knowledge of mathematical and/or statistical techniques. Generally requires 3-5 years experience in or research on financial markets / products and developing financial models is an advantage. Related risk management experience is preferred. SKILLS AND ABILITIES• Strong analytic capabilities and desire to participate in structured model development • Team player that likes putting ideas into practice• Strong communications skills, in particular the ability to explain complex math/statistical concepts to a non-expert audience in easy-to-understand language• Strong back ground in programming in C++, VBA/Excel, Matlab or SPLUS is essential• Excellent interpersonal skills and ability to work effectively with people in a wide range of positions • Multi-tasking and adjusting priorities when situation requires