Market Risk Analyst Interview Questions and Answers for Freshers

VaR is a measure of potential loss in value of a portfolio over a specified time horizon at a given confidence level.

• VaR quantifies the maximum potential loss in value of a portfolio over a specified time horizon at a given confidence level.

• Historical simulation is a method of calculating VaR by using historical data to simulate potential future outcomes.

• VaR helps in assessing and managing market risk by providing an estimate of potential losses.

• It is commonly used in financi...read more

Option greeks are measures used to assess the sensitivity of an option's price to changes in various factors.

• Option greeks include Delta, Gamma, Theta, Vega, and Rho.

• Delta measures the change in option price for a $1 change in the underlying asset price.

• Gamma measures the rate of change of Delta.

• Theta measures the change in option price with the passage of time.

• Vega measures the change in option price for a 1% change in implied volatility.

• Rho measures the change in option pri...read more