Macquarie Group Quantitative Analyst Senior Manager Interview Questions | Glassdoor.com.au

Macquarie Group Quantitative Analyst Senior Manager Interview Questions

Interviews at Macquarie Group

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Quantitative Analyst Senior Manager Interview

Anonymous Interview Candidate in Sydney
No Offer
Negative Experience
Easy Interview

Application

I applied online. The process took 1 day. I interviewed at Macquarie Group (Sydney) in September 2018.

Interview

Two associate directors from the quant finance group interviewed me on a position relating to the quant modelling, validation and risk mgmt. One of them first laughed at my PhD research, claiming he heard of it 20 years ago. Unfortunately he knew nothing about it and does not realise what he does for a living, that is, the trivial black scholes model, has been around since 1973 and is known to be wrong for many many years. He then spent most time looking at his mobile phone. The other asked questions using terminologies they learned from a standard QF derivative pricing degree course at BS/MS level plus jargons in a professional environment , where certain things (e.g., the "black-scholes formula") are hard-coded in their heads taken for granted w/o explanation. I have a much more general QF background at PhD level where things are much more diversified and communications usually take more statement of assumptions etc.. I did not expect that all they wanted to hear from me are trivial memory of certain specific tech details which I can derive in a few minutes if all information were given correctly, but they seem to want the answer out of my mind in a "hard coded" fashion like their legacy C++ code base. For a well known model they asked, I mentioned a few papers concerning that model and the first guy started laughing again saying he was not expecting this level of complexity, that their question is very simple. When I try to explain my solution they kept interrupting me and hinted that they want a "simple answer". I asked them if they want me to guess a number and I did guess a number, so that they can stop and keep doing the rest on their list of questions. The whole conversation was awkward with these people who developed their own specialised dialect in a narrow field and speak with arrogance to cover their ignorance. These guys weren't serious to begin with. They just wanted to waste my time.

Interview Questions

  • What is VaR ?   1 Answer
  • What are the risk factors affecting the VaR of a trading book of options?   1 Answer
  • What is the VaR of the call option?   1 Answer
  • Given interest rate being negative, which model should I use, a lognormal with shift or a normal?   1 Answer
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