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5190Why Implied Repo MattersWhy do traders care about implied repo instead of looking only at the quoted forward premium?金融与交易困难essay未尝试面试订阅5281Correlation Shock And Volatility Repricing 1An equal-weight portfolio holds two assets with volatilities 0.04 and 0.09. The current correlation estimate is -0.2, but stress testing revises it to +0.3. With weights unchanged, what is the new portfolio volatility, and by how many volatility points does it rise versus the original estimate?金融与交易中等数值题未尝试面试订阅5283Correlation Break And Diversification Loss 3A two-asset portfolio has weights 0.3 and 0.7, volatilities 0.03 and 0.10, and current correlation 0.25. After a macro shock, correlation is revised to 0.75 with all else unchanged. What is the new portfolio volatility, and how many volatility points of diversification are lost relative to the original estimate?金融与交易中等数值题未尝试面试订阅5284Correlation Normalization And Variance Jump 4A portfolio holds weights 0.4 and 0.6 in two assets with volatilities 0.06 and 0.12 and current correlation -0.4. If correlation normalizes to 0 while weights and volatilities stay fixed, by what percentage does portfolio variance increase?金融与交易中等数值题未尝试面试订阅5286PM Dismisses A Low-Sharpe Hedge SleeveA PM says, "This market-neutral sleeve has a poor standalone Sharpe, so it should never receive weight in a Markowitz optimizer." The sleeve is mildly negatively correlated with the core book. How would you respond in two or three sentences?金融与交易困难essay未尝试面试订阅5289Why Long-Only Can Reshape The Entire SolutionAn unconstrained optimizer wants a large short in one equity sleeve to hedge two crowded longs, but mandate rules require long-only weights. Explain why the long-only solution can look qualitatively different rather than just a clipped version of the unconstrained one.金融与交易困难essay未尝试面试订阅5290Tiny Alpha Changes, Huge Weight FlipsA Markowitz backtest flips from +18% to -12% in one sleeve after a tiny revision to expected-return estimates, while the covariance matrix barely changes. What does this tell you, and what would you do before trading the result live?金融与交易困难essay未尝试面试订阅5291Benchmark Mix to Hit a Beta Target 1A sleeve with beta 1.4 is blended with a hedge sleeve of beta -0.2. What weight on the first sleeve gives portfolio beta 0.5?金融与交易中等数值题未尝试面试订阅5292Implied Market Premium From a Hurdle Return 2A stock has beta 1.2 and the risk-free rate is 2%. If CAPM says its expected return should be 9.2%, what market risk premium is implied?金融与交易中等数值题未尝试面试订阅5296Idiosyncratic Variance From Total and Market Pieces 5A stock follows a one-factor model with beta 1.5. Market variance is 0.04 and the stock's total variance is 0.16. What idiosyncratic variance is implied?金融与交易中等数值题未尝试面试订阅5298Benchmark Change and Alpha Revision 7A stock returned 1.3%. Under the old benchmark, the benchmark return was 0.8% and beta was 1.0. Under a new benchmark, the benchmark return is 0.5% with the same beta. By how much does the stock's measured alpha increase?金融与交易中等数值题未尝试面试订阅5321One-Day Sigma Allowed By Five-Day VaR BudgetA linear book is modeled with zero-mean normal PnL. The desk reports 5-day delta-normal VaR at 97.5%, uses z=1.96, and applies square-root-of-time scaling. If the 5-day VaR limit is 30 million, what is the largest 1-day PnL standard deviation the book may run?金融与交易简单数值题未尝试面试订阅5324Leverage Cap From Two VaR ConventionsA linear book currently has 1-day 97.5% delta-normal VaR of 6 million. The risk committee instead limits 10-day 99% VaR to 25 million and assumes zero mean plus square-root-of-time scaling. If the book is levered by a factor L, what is the largest L allowed? Use z 0.975=1.96 and z 0.99=2.326.金融与交易简单数值题未尝试面试订阅5334Approximate VaR Change From RebalanceA portfolio manager plans two trades and uses a local Euler approximation for total VaR. She sells 0.30 of a crowded factor sleeve whose marginal VaR is 0.26 per unit weight, and buys 0.20 of a hedge sleeve whose marginal VaR is -0.10 per unit weight. What is the approximate change in total portfolio VaR from the rebalance?金融与交易困难数值题未尝试面试订阅5336Portfolio VaR Below Sum Of Desk VaRsAt the daily risk meeting, the CRO notes that the standalone historical VaRs of three desks add up to 42 million, but the portfolio historical VaR comes out to only 31 million after a new basis book was added. What is the most likely explanation, and what is one concrete systems check you should run before trusting that diversification effect?金融与交易困难essay未尝试面试订阅5338Date-Shifted Scenario VectorsDesk A is shocked on yesterday's historical scenario set, while Desk B is revalued on the same market moves but shifted forward by one calendar day because of a loader bug. The risk engine still adds the two P/L vectors and reports a portfolio historical VaR. What exactly is wrong with that number, and what is the correct fix?金融与交易困难essay未尝试面试订阅5339Component ES Rises While Total ES Is FlatA portfolio's total expected shortfall stays flat at 25 million over the week, but the credit sleeve's component ES rises from 4 million to 9 million. Why is that still an actionable warning, and what should the portfolio manager ask for next before deciding whether to cut risk?金融与交易困难essay未尝试面试订阅5340Why Sqrt-Time Scaling Fails In A Liquidity EventDuring a liquidity event, a desk estimates 10-day VaR by taking one-day VaR times sqrt(10) for a book of gap-prone options and crowded cash bonds. Why is that unsafe here, and what is a more defensible check to run instead?金融与交易困难essay未尝试面试订阅5351Compare Kelly Allocations 1Trade A wins net 1.1 with probability 0.57. Trade B wins net 2 with probability 0.41. Compute both full-Kelly fractions and identify which trade gets the larger capital fraction if you size them separately.金融与交易中等数值题未尝试面试订阅5352Compare Kelly Allocations 2Trade A wins net 0.9 with probability 0.62. Trade B wins net 3.2 with probability 0.34. Compute both full-Kelly fractions and identify which trade gets the larger capital fraction if you size them separately.金融与交易中等数值题未尝试面试订阅