Citicorp Quantitative Risk Analyst Interview Questions and Answers

Dataset and goal of the assignment was shared. Python coding and explanation in ML was expected.

It was coding test where you can choose the language (python,C etc )

Q1. 1) What is attention mechanism (since it was mentionned in my resume) 2) What is the sde of the Heston model? 3) What is implied volatility? 4) What is PCA (machine learning question)? 5) How matrices are...read more
Ans. 
Answers to various quantitative research questions
• Attention mechanism is a key component in deep learning models that allows the model to focus on specific parts of the input sequence.

• SDE stands for Stochastic Differential Equation in the context of the Heston model used in quantitative finance.

• Implied volatility is the market's expectation of future volatility implied by the prices of options.

• PCA (Principal Component ...read more
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Q1. Fixed income fundamentals
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Q2. Previous job functions
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Q1. Previous job functions
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Q2. Role in decision making
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Quantitative analysts play a crucial role in decision making by providing data-driven insights and recommendations.
• Utilize statistical models to analyze data and identify trends

• Develop quantitative strategies to optimize decision making processes

• Collaborate with stakeholders to understand business objectives and provide relevant analysis

• Present findings and recommendations to support informed decision making
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Q1. Walk me through your resume
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I have a strong background in quantitative analysis and have worked on various projects in the field.
• Bachelor's degree in Mathematics with a focus on statistics

• Internship at XYZ Investment Bank, where I developed quantitative models for risk assessment

• Led a team of analysts to develop a trading algorithm that outperformed the market by 10%

• Published research paper on machine learning techniques for financial forecasting

• ...read more
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Q2. Why this particular role
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I am passionate about using quantitative analysis to solve complex problems and make data-driven decisions.
• I have a strong background in mathematics and statistics, which are essential skills for a quantitative analyst.

• I enjoy working with large datasets and using statistical models to uncover patterns and insights.

• I am excited about the opportunity to apply my analytical skills to financial markets and investment stra...read more
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Q3. Why do you want to join us
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I am passionate about quantitative analysis and believe that joining your team will provide me with the opportunity to apply my skills and contribute to meaningful projects.
• I have a strong background in mathematics and statistics, which are essential for quantitative analysis.

• I am excited about the prospect of working with a team of experienced quantitative analysts and learning from their expertise.

• Your company has a ...read more
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Q1. Past project experience
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I have worked on various quantitative analysis projects in finance, risk management, and data science.
• Developed predictive models using machine learning algorithms

• Conducted statistical analysis to identify trends and patterns in data

• Implemented quantitative strategies for portfolio optimization

• Utilized programming languages such as Python, R, and SQL

• Collaborated with cross-functional teams to deliver actionable insight
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Work on model building and presentation to stakeholders

Q1. Explain your model and be ready to get questions on approach
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Q1. Tell me about your previous experience
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Q2. Have you ever worked with machine learning algorithms?
Ans. 
Yes, I have experience working with machine learning algorithms in various projects.
• I have implemented supervised learning algorithms such as linear regression, logistic regression, and support vector machines.

• I have also worked with unsupervised learning algorithms like k-means clustering and principal component analysis.

• I have experience with deep learning algorithms such as neural networks and convolutional neural n...read more
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