How to prepare for FT Market Risk interview?

Boothorbust:

Value at Risk - The New Benchmark for Managing Financial Risk - Jorion

Borrow a friend's Investments textbook and skim the chapters on fixed income risk and pricing. Maybe look at options.

If you are not a Finance major they probably won't expect you to know too much about securities pricing, but since you are a math major they may ask you more detailed questions about multivariate calculus or matrix algebra, which you should be fine on.

Thanks.

Boothorbust:

How do you find the variance of a portfolio of securities? What information do you need? If I have an equally weighted portfolio of two securities, one with a standard deviation of returns of 2, the other is 4, what is the standard deviation of the portfolio? Do you need more information to calculate? How would I calculate the duration of a portfolio of bonds from the individual durations? What are different measures of "risk" of a portfolio? What are the benefits and shortcomings of each? Assuming returns are normally distributed, what are the odds that one-day returns exceed one standard deviation from the mean? Two standard deviations? What is interest rate risk? What is re-investment risk? How do these two interact?

Thanks man. You have already done us a large favor by posting these questions. Is that book the best way to prepare for these? Do the Vault guides have answers to these questions.

(Not trying to be lazy here. I'm doing my research, but some answers are very difficult to find.)

Also, if someone knows the answers to these questions and has some time on their hands, could you please try them out.

Thanks.