Thursday, December 22, 2011

Quant Finance Interview Prep [Topics, Introduction, Jobs, CFA. FRM]

COURSE LINK: Quant Finance Interview Prep Course 

Playlist on Quant Interview:



Uploaded by Shivgan on WizIQ Tutorials


Course Highlights:
  • One-to-one session with the instructor.
  • Access to preparation material.
  • Discussion on case studies of various finance companies.
  • Acquire information on different interview formats.
  • Get accustomed to analytical and programming.

Course Description:
This is a one-on-one course for providing proper individualistic approach and prepare you for quant finance interviews. This course will help you in making a proper strategy to crack the interviews. It consists of 6 classes of an hour each. It will focus on various questions that can be asked during the interviews & how to tackle them. Different case studies of various quant finance companies will also be discussed so that you can tackle such questions with ease. Both Aptitude & Financial part would be taken care of. Proper materials would be provided along with some recommendations for books.

Course Package:
  • 06 Live online interactive classes
  • 03 Assessment test
  • 02 Online test
  • 01 PDF
  • 06 Videos
Key Takeaways:
  • Be fully prepared for quant job.
  • Get all mandatory information for cracking interviews.
  • Get all necessary material you need for quant interviews.
Other Details:
  • Presentations and PDFs will be provided.
  • Class duration: 1 hour/class.
Course Content:
Class No.TopicClass Duration
1Course structure – Making changes to the plan1 hour
2Soft Quantitative Aspects in Finance and News1 hour
3Excel, VBA, MATLAB, R, SAS, SQL Revision1 hour
4Calculus and C++1 hour
5Puzzles and Qualitative Aspects1 hour
6Revision/Doubt Clearing1 hour




Areas To Focus on For Interview Prep (with demo questions)

You can reasonably expect to be asked the following questions:
  • Why our company?
  • Why this particular position? (Especially if your degree is in an unrelated field)
  • Describe a time when you were a leader in a team situation
  • Tell me about a conflict that you experience within a team, and how you resolved it.
  • Tell me about a time when you succeeded under stressful circumstances
  • Which financial markets interest you at the moment?
  • Why should we hire you over all the other candidates?
Types of Questions You May be Asked:
  • How would you value a certain company?
  • Pitch me a stock
  • How would the rise of China threaten the German economy?
  • What is the exchange rate between the Euro and the American dollar?
  • What are some problems investors might face in the future?
  • Where do you see yourself in 5 years?
  • Give an example of a moral dilemma your have experienced
  • How do you cope with stress?
  • You are sitting in a boat in the middle of a lake (alone) and drop in the anchor - Does the water level increase or decrease?
  • Tell me about something interesting that you have read recently
  • How would you convince a client that their request cannot be met?
  • What will you be doing in your first year at GS?
  • Give me a recap of your life in 30 seconds
  • How many manhole covers are there in London?

Last experience:
Question on projects: this becomes important
Leadership position / independent work 

Areas of concern:
  • Tell something about you
  • Confidence
  • Entrance
  • 20 seconds 50%
  • HR
  • Never assume next question
  • specialty
  • Body language
  • Eyes
  • Tone consistency
  • Hard-cored personality
  • Selling yourself
  • Strategic Exaggeration
  • Recent vs old achievement
  • Leveraged to strong areas
  • Quant maths
  • Rounds of Interview: Layers
  • Value for money
  • react vs respond
  • artificiality for selling
  • Battles are won in mind
  • Breaking the ice
  • women vs peer vs old men
  • Smiling at right times
  • Greeting at right times
  • Reactions and emotions not allowed
  • Correlated weakness
  • Games with no truth
  • Verbal Skills are imp like GMAT
  • Supply demand
  • Technical vs HR
  • Switching demand and supply

Supply demand in jobs: Arrow diagram of jobs means plotting supply and demand. Its a pure case of supply demand, hence if you go in a area where demand is less and supply is also less then that is a better strategy than going to supply more, demand area. This is my personal belief and my strategy. Because people are less also the demand is less there are chances of better negotiations.

Dealing with HR people: HR people should be dealt with appropriately. There are various people and layers that decides your entry in an organization.  Much of things depends on your qualifications and the place you do your PG from, hence this becomes one area of negotiations even if you can do the job of more qualified people. Hence in this case CFA, FRM and other exams become very useful.

Company size decision:
Small: No Big names, freedom, high pay, more learning that you can do.
Big: Adds to resume, more extra stuff, foreign assignment, less learning from self.

Questions for you are:
  • When HR says no more negotiations do they mean so?
  • How to catch mis-match in demand supply?
  • If you are getting better each day, how does too often switch matter? (Example 2 yr exp in good company vs 1 year in 2, and clearing exams like FRM/GMAT in the break)
  • How really less are the Quant jobs in India?
  • How to increase the interview count, how to move from Door to Door when email does not work?
Solutions and Discussions
  • Memorize all answers.
  • Learn about job, role and sector.
  • 2-3 minutes is what it matters.
  • Positive mind,  never react when forced to, take deep breath when angry or nervous.
  • Learn to lie, this is game of demand and supply.
  • Emphasis on knowing Research, Analysis, Reporting or which role that is.
  • What can you do that others cannot do.
  • First 6 months are tough with no Saturday and that is all right with you.
  • Least attractive: Political and diplomatic answers.
  • All negative answers: deal politely.
  • Do not condemn others, talk about yourself only.
  • Desire to progress/ recognition when due/ opportunity and suitability/ applying myself/ diversification / team working/ synchronized research / etc are reasons to join.
  • Be open minded.
  • Psychology of interviewers.
  • Definition of position or works that you need to know, do you know this?
  • Different types of analyst.
  • Working on tough past.
  • again understand the profile very carefully.
  • Ask them in a very soft and humble way.
  • How long would you like to work with us.
  • Do you know how to deal with company politics / backstabbing / trust deficit.
  • Avoid words like until/unless/my opinion.
  • Over Qualified answer.
  • Standard questions and answers.
  • Flasehood and lying with HR.
  • Ego issues in job.
  • Goals and targets.
  • 3 failed ventures.
  • Websites of interview Questions.
  • Consultants are also important and they can be contacted at a later stage.
Developing Financial Acumen:
  • Looking at news and presentations
  • News
  • Great men says
  • Macro Economics
  • Reading news
Technical question:
  • 10 Examples of Monte Carlo.
  • 10 examples of linear regression in Quant Corp Fin / Fin risk.
  • Econometrics: Multicollinearity, how to remove it.
  • Logistics regression.
  • Interpret rate paths using excel.
  • MATLAB for interest rate paths.
  • Are the risk different in HFT?
  • Volatility modeling using Heston.

Weakness:
  • Small errors
  • Over aggressiveness and over exerting
  • Preacher, giver of more that is needed
50 Standard Questions of HR:
  • Memorize all of them
  • Greatest weakness
What to ask them in the end:
  • Exact Profile
  • CFA FRM study leave
  • Relocation issues
  • Read about company
  • Guess supply demand
  • Body Language like nodding
Links:
  • Find company info
  • How to develop
  • Linkedin
  • Coaching
  • Teacher
  • Spirituality Link
Technical questions in Finance interviews:
  • Financial ratios (to find out problems in the company with balance sheets)
  • Valuation of companies CFA level 2
  • Modeling used in the industry
Questions in Quant finance jobs are very different:
Technical questions for Investment Banking / Equity valuation:
  1. FCF/DCF
  2. Enterprise Value
  3. Ratio modeling / Price to book ratio
  4. Footnotes auditor's report n Management Discussion
  5. Du-point analysis
Different Version of Resumes:
Once you know how many areas you want to go in, then according to need you can change your resume. Hence for that you should have different version of resumes. The areas that you need to cover are:
  1. Credit / Market Risk/ Quant Resume FRM L2
  2. Equity Research / Investment Banking / Private Equity Resumes CFA L2
  3. Algorithmic Trading / Quant Resume FRM / CMT
  4. Derivative Analyst /  Derivative Trading / Generic Trading FRM / CMT
Hence you should have at-least 4 version of resumes. Salary things, 10 times factor, Symbiotic relations.

Other strategic issues:
  1. Issues like bond, movement, absconding, etc must be taken care of before joining ideally.
  2. Company reimbursement of CFA FRM exam fee.
  3. Notice period buy-able
  4. Getting in touch with peers is another important thing
Major banks that everyone in finance wants to work are:
  1. Citigroup Inc., Deutsche Bank AG, Goldman Sachs Group Inc., JPMorgan Chase & Co., Morgan Stanley and UBS AG
  2. As far as India goes most of them are in Mumbai or Bangalore.
  3. Citi is in Mumbai, JP Morgan is in Mumbai, Goldman is in Bangalore, DB is in Mumbai and Bangalore, Morgan Stanley is in Mumbai, UBS is in Hyderabad, Barkley is in Mumbai.
KPOs in finance are:
  1. EVS
  2. Copal
  3. EXL
  4. Syntel etc
These questions are related to equity valuation

Some more Questions:
1. Tell me about yourself?
2. What do you know about Our Company?
3. What can you do for Our Company?
4. Why do you want to work for Our Company?
5. Tell me the latest Our Company headline you read. What are your thoughts on how that will impact Our Company?
6. If you were in a team involved in a secret Our company project, how would you refrain from telling your significant other, friends, family, etc?
7. Where do you see Our Company’s products?
8. How can you relate the goals you have for yourself to the goals of Our Company?


Salary Negotiations:
  • Do not utter your figure
  • How to ask for more
  • Hinting the opportunity cost
  • Asking about profile
  • Big vs Small company
References:
http://www.wikijob.co.uk/wiki/goldman-sachs-interview-questions
http://www.assessmentday.co.uk/WJ/index.html?wikijob-link-type=a-link
http://www.geeksforgeeks.org/goldman-sachs-interview-set-2-on-campus-for-analyst/
http://www.careercup.com/page?pid=goldman-sachs-interview-questions

Nice blog:
http://goldmansachsinterviewquestions.blogspot.com/

103 questions:
http://interviewquestionsandanswers.biz/interview-questions-list-and-answers/

Data structures and algorithms:
https://www.quantnet.com/threads/goldman-interview.3496/
http://www.entrepreneur.com/article/230931
http://www.askivy.net/articles/investment-banking/interview-preparation/how-do-i-make-it-to-goldman-sachs

Quant focused: 
www.wilmott.com/messageview.cfm?catid=16&threadid=12806
http://www.quora.com/Goldman-Sachs/What-is-it-like-to-be-a-quantitative-analyst-at-Goldman-Sachs
http://www.glassdoor.com/Interview/Goldman-Sachs-Quantitative-Analyst-Interview-Questions-EI_IE2800.0,13_KO14,34.htm
http://www.vault.com/blog/interviewing/5-interview-questions-investment-banking-interns-need-to-nail/
http://www.reliableplant.com/Read/28069/Questions-asked-job-interview
http://news.efinancialcareers.com/ru-en/93451/an-illuminating-qa-with-an-ex-goldman-sachs-quant-from-russia-who-warns-think-before-you-go-into-banking/
http://qcfinance.in/Quant_Interview_v2.pdf


Some of the recommended References:
  • C++ design patterns and derivatives
  • A Practical Guide To Quantitative Finance Interviews - Xinfeng Zhou
  • Quant Job Interview Questions And Answers - Mark S. Joshi
  • http://www.quantstart.com/articles/5-Top-Books-for-Acing-a-Quantitative-Analyst-Interview
  • Heard on The Street: Quantitative Questions from Wall Street Job Interviews - Timothy Falcon Crack

One on One Customized Training:

qcfinance.in believes in personalized touch so that our clients are completely satisfied with our service. In this regard, we offer One on One Customized Training to our clients.

These Training are provided on requests by our clients & are customized according to their individual needs.

The course structure & timings for these training are highly flexible, classes are scheduled as per the convenience of our clients.


Custom Video Solutions:

In yet another innovation to simplify things for our learners, qcfinance.in has introduced the Custom Video Solutions Options. If a learner has some specific query but don't have the time to come to live online class, then he/she can ask for custom video solution for the query. qcfinance.in will make a video recording that will be uploaded to YouTube or given directly to the learner in mp4 format for there viewing. A learner can go through the recording as per there convenience. If still doubts exist, he/she can email us  anytime for clarifying them.

Contact Us for More details: info@qcfinance.in



In this regard my preparations has been bit misguided, where I have not been coherent. First I will take you through my prep and then we will look at the most idea prep. My past preps:
  1. Subject GRE Maths: Given this exam and failed 2 times (2009,2011)
  2. Monte Carlo/Game theory/Decision Tress: Have read game theory a lot, published some research on use of game theory for Nanotech
  3. SAS Base/adv/Miner(Predictive) also Mathematic: Used MATLAB a lot in Reliability Engineering
  4. Stochastic Calculus /  Martingales (all three are hardcore Mathematical terms). Ito and derivation of Black scholes and random particle KTG models (part of Quantum Physics)
  5. Derivation of all Distributions, freedom of movements (since regression class)
  6. Financial Time series is like signal processing 
Although most of things that I have learned are hard earned intuitive ways which is from very basics. I do plan to add their videos. But as an advice you should know all these areas if you are interested in working in Quant Positions.

Now you will ask these questions to yourself:
  • How much would you weigh my focus on these 3 areas: Fin basics/Maths/programming?
  • If I plan to give CFA, SAS Predictive modeling & FRM exams I will know lot of finance but not the mathematical part which are not taught anywhere but in Ivy. Can you suggest me on how to work on that lacking part of hifi-quant?
Answer to these questions are not direct, but yes you have to practice and sort out things yourself.

Course interpretation from Quant Finance:
The courses are divided into 3 areas: math+programming+fin basics. The maths consist of: Stochastic Calculus and has:
  1. Brownian Motion
  2. Ito calculus
  3. Martingale 
  4. Partial Differentiation 
Once you know a little bit about all these things you can feel quite comfortable with Quant areas.

I will be reading Monte Carlo Models and Black Scholes as the two main mathematical pillars of mathematical finance. There are various versions of mathematical derivations but I will try to explain them in my videos. BS is all about physics, gas liquid forces etc. Whereas MC is about stat. more toward programming side.There are many videos on the area that you can check out. The model of your system however remains to be derived by you.

There are also books on Interview of Quant on Wall street that you can check out, the major points still remains the one I am talking about and the rest covers things of CFA and FRM.

FRM & Quant:
FRM touches both BS and MC but not in details, it rather goes for a broad knowledge.Chapter: Valuation and risk models, also imp to pass the exam.Monte carlo is in quant. Both are given in very basics.

I think FRM and Financial risk a kind of practical application of Financial Maths/Engineering because risk is the area where quant is used a lot more than other area. Hence in the long term Quant people might go to derivatives or other areas of risk management. May be it is so complex: things like CDS, and IRS that they need very complicated models which are tough in FinMaths.

About my work in this area:
I studied integration from its roots in 2005 and 2006, then I studied partial differential in 2007-2008, that time I never knew that after few years I will be moving so hardcore into Quant profile. But yes it is fun to be in this area. I went to engineering but physics was my 1st love, I went for job, but doing business is my main goal. But Quant is something that I like doing, and will be doing.

Brownian Motion (also used in Monte Carlo Simulations)
It kind of reminds be of Schrodinger equations where things are related using partial differential equations to other areas. Here things are related to drift and volatility.

Binomial trees and various risk neutral methods and some other assumed in binomial distribution are interesting and time consuming to understand.

My views about applicability of models: In the long run things depends on  political policies and strategy, whereas in the short term it depends on the movements and big players and how they are changing their portfolio and hence there needs to be linking point between quant analysis and portfolio movements. Also there are portfolio of commodities+stocks+bonds and then generally basic quant looks likes short termed technical analysis with mathematical derivations.

Derivation of Black Scholes
A daunting task as it requires knowledge about engineering calculus.

Youtube also has some good videos on Quant finance, which you must check out to start your preparations: 
  1. Paul Wilmott
  2. Bionic
CFA Level 2 has multiple regression and Time series, two chapters which will help you deal with Quant Finance, but you should maintain good understanding  so that you can maintain the strategic advantage that you have in this area. There are few books on time series for finance which I have downloaded and will look into for improving my knowledge.


CFA Level 2 Quantitative Techniques for Finance
In the last session I studied Time series so I remember it the most. In that I found that still regression was used where it was regressed with the old data in a linear way. I think that the subject is build in a way that everything is kept linear. ARCH, Auto regressive, regression of errors with earlier errors, unit B1 or random walk was an important area. Random walk in its advanced form is used for Black Scholes. We were checking everything using p values and t stat which became clear last week, thanks to a friend. One thing that still gives me problem is that why we are dividing it 1/root(n) when we are testing the auto regressive for season effect, where does this comes from. But of-course I am also making a note of all the distribution so that things become logical and easy.

I was doing some research on various quant areas, I found these areas very good:
Neural network, genetic algo, etc for kind of technical analysis
Trading Algo, high freq trading is another area
Reinsurance and catastrophe modeling is another quant area

Hence there is something for every quant in different areas in quant.

Quant finance takes a different flavor when we talk about commodity derivatives which has their fundamental attached for each of the commodity (oil, agri, silver, gold, etc). Hence it become a case specific study on how to apply quant in modeling of derivatives for commodities and also Forex.

I will add a post of Quant for commodities, as this area is not given clearly in any of the place.

Model implementation (Tree, Monte Carlo, Finite Difference):
FX: Black-Scholes, Local Volatility, Heston & Local Stochastic Volatility
IR: Hull-White, Black-Karazinski, CIR & SABR


Requirements 'Quantitative Analyst' where FRM helps is as follows: 
  • Quantitative modeling to provide risk measurement and hedging solutions which is there in FRM
  • Developing stress testing and scenarios analysis tools which is there in Excel programming, also there in FRM L2
  • Basics of VaR Concepts, Liquidity risk, Tail Risk Measurement. 
  • Development of Statistical & Mathematical Models in C++, Matlab, R but this needs to be done by you 
  • In broad way this is area is about Pricing of instruments across asset classes
  • Hence, FRm here gives a good understanding of risks concepts including market risk, and operational risk


Quantitative Finance is compulsory including:
Vanilla and Exotic Derivative Products (Options, Futures, Swaps, Exotics such as Cliquets, Rainbows, Cappuccinos/ Stellars, Share Repurchases, Timer Options, Variance Swaps)
Models (Single factor, Multi factor, Mean Reverting etc) such as:
Local Beta
Hull-White Local Volatility 2 Dimensional Partial Differential Equation (PDE)
Markov Functional
Uncertain Volatility
Black Scholes 
Local Volatility 
Heston model
Merton Jump Diffusion model
Templates
Variance and Corridor Variance Products
Worst of Barrier
Overnight/Geared share repurchase (OSR/GSR)
Cappuccino-Stellar
Timer Option
Uncertain Volatility Model (UVM) Portfolio
Advanced knowledge of Equities and basic know of Fixed Income
Derivatives Trading Strategies 
Greeks (such as Volga, Vega, Gamma, Theta, Delta, etc.)
Development experience is must esp. in C++, Python, Excel/VBA, and Structured Query Language (SQL). Knowledge of Standard Template Library (STL) and Data Structures is must.


FRM CFA Quant Strategy


    Other way is to search for lectures on individual areas.

    Video Series CFA FRM



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