Quantitative Analyst

Applied online for a Quant Model Risk position in London. Had 6 online interviews.

Mostly Stochastic Calculus Questions:

Law of int(Bsds)
E[Bt|Bs]
E[Bt*exp(Bt)]
E[cos(Bt)]

Some probability questions:

X,Y uniform on 0,1
P(XY>1/2)
P(XYZ>1/2)


Fin rho correlation.
If a correlation matrix of size nxn with rho everywhere and 1 on the diagonal.
The interviewers were not friendly at all. Just waiting for the same proof as the one they did with no place for another proof even if it was right and faster way to find the same result.
Overall i don’t recommand the Quantitative Model Risk team in London as all the people I saw (6 interviews) were not friendly and arrogant.