Monday, August 17, 2009

My own interview questions on credit (or mkt) risk system

Q: how is your system related to Credit Valuation Adjustment?

Q: what trading desks do you support?
A: many desks. Could be a firm-wide system.

Q: who are the most important users of the reports generated? Traders? Management of the trading desk? Sales teams? Product control?
R: I know Trader, Desk manager are using that.

Q: what asset classes are rated by the system -- corporate bonds? other bonds? swaptions? CDS? Mortgage-backed-securities?
R: Bonds, Swaps, Special purpose vehicles.

Q: how many positions in each product?

Q: What kind of traders hold those positions? Holding for how many days?

Q: what's a typical position size?

Q: What are the major risks to those positions?

Q: What sensitivities are monitored?

Q: I was told CDS is the main credit product on the market. Many banks use CDS to cover and hedge their credit risk. Is CDS covered by your system?

Q: Since you said it's a reporting system, give me a good idea of the most important pieces of information in your report? To be specific,name at least 3 pieces. Exclude product attributes such as bond name, issuer name, coupon rate, last payment coupon date etc.

Q: give me a good idea of the most important input data to the credit rating system, besides issuer, coupon rate, call dates.

Q: how does the credit risk output from your system affect the trading operation or other businesses? What businesses? Security lending business?

Q: Specifically, what business decisions do these users make after reading your data?
R: user will base on the report to request borrowers to increase collateral.

Q: who are the downstream systems?

Q: does your output data enter the trade "flow" before ORDERS are sent out (ie pre-trade) or after trades are confirmed and become a POSITION (ie post-trade)?
R: Has nothing to do with orders.

Q: if it only affects collateral, then is it part of the buy/sell life cycle? Is it part of security lending life cycle? or some other business life cycle? What businesses? Loan business? Repo business? OTC derivative business that needs collateral?

Q: what are the underlying credit risk methodologies used? Is there a name for that methodology?

Q: how many issuers are covered?
R: Less than 7 hundreds.

Q: do you cover corporate issuers only? If not then who else? Governments? Agencies? Municipalities?

Q: what are the database table sizes in terms of rows and GB? How do you cope with the size?

Q: How large is the largest table you have to query? What kind of data does it hold?
R: my table are small, 80 columns, 100k records. Use ISIN instead of cusip.

Q: is this the largest? What kind of data does it hold? Product data keyed by ISIN?

Q: how long is the batch job? What are the techniques to shorten it?
R: from minutes to several hours. Techniques? none

Q: do you know if the system use a rule engine for the credit risk calculations?

No comments:

Total Pageviews

my favorite topics (labels)

_fuxi (302) _misLabel (13) _orig? (3) _rm (2) _vague (2) clarified (58) cpp (39) cpp_const (22) cpp_real (76) cpp/java/c# (101) cppBig4 (54) cppSmartPtr (35) cppSTL (33) cppSTL_itr (27) cppSTL_real (26) cppTemplate (28) creditMkt (14) db (65) db_sybase (43) deepUnder (31) dotnet (20) ECN (27) econ/bank` (36) fin/sys_misc (43) finGreek (34) finReal (45) finRisk (30) finTechDesign (46) finTechMisc (32) finVol (66) FixedIncom (28) fMath (7) fMathOption (33) fMathStoch (67) forex (39) gr8IV_Q (46) GTD_skill (15) GUI_event (30) inMemDB (42) intuit_math (41) intuitFinance (57) javaMisc (68) javaServerSide (13) lambda/delegate (22) marketData (28) math (10) mathStat (55) memIssue (8) memMgmt (66) metaProgram` (6) OO_Design (84) original_content (749) polymorphic/vptr (40) productive (21) ptr/ref (48) py (28) reflect (8) script`/unix (82) socket/stream (39) subquery/join (30) subvert (13) swing/wpf (9) sysProgram` (16) thread (164) thread_CAS (15) thread_cpp (28) Thread* (22) timeSaver (80) transactional (23) tune (24) tuneDB (40) tuneLatency (30) z_ajax (9) z_algoDataStruct (41) z_arch (26) z_arch_job (27) z_automateTest (17) z_autoTrad` (19) z_bestPractice (39) z_bold (83) z_bondMath (35) z_book (18) z_boost (19) z_byRef^Val (32) z_c#GUI (43) z_c#misc (80) z_cast/convert (28) z_container (67) z_cStr/arr (39) z_Favorite* (8) z_FIX (15) z_forex (48) z_fwd_Deal (18) z_gz=job (33) z_gzBig20 (13) z_gzMgr (13) z_gzPain (20) z_gzThreat (19) z_hib (19) z_IDE (52) z_ikm (5) z_IR_misc (36) z_IRS (26) z_javaWeb (28) z_jdbc (10) z_jobFinTech (46) z_jobHunt (20) z_jobRealXp (10) z_jobStrength (15) z_jobUS^asia (27) z_letter (42) z_linq (10) z_memberHid` (11) z_MOM (54) z_nestedClass (5) z_oq (24) z_PCP (12) z_pearl (1) z_php (20) z_prodSupport (7) z_py (31) z_quant (14) z_regex (8) z_rv (38) z_skillist (48) z_slic`Problem (6) z_SOA (14) z_spring (25) z_src_code (8) z_swingMisc (50) z_swingTable (26) z_unpublish (2) z_VBA/Excel (8) z_windoz (17) z_wpfCommand (9)

About Me

New York (Time Square), NY, United States