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      VTB interviewsVTB Summer: Credit Risk, Model Testing and Calibration interviewsVTB interview


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      Summer: Credit Risk, Model Testing and Calibration Interview

      23 July 2015
      Anonymous interview candidate
      London, England
      No offer
      Positive experience
      Average interview

      Application

      I applied through university. The process took 3 months. I interviewed at VTB (London, England) in June 2015

      Interview

      I applied directly via email which I got through my university's careers service. I received a reply about two weeks later asking me to come for an on-site interview with two heads of quantitative risk. Very friendly. Most of the interview was about my profile and what I could bring to the intern position. Some quantitative questions on specific topics I brought up.

      Interview questions [2]

      Question 1

      Q: If I give you a time series of prices, how would you calculate the volatility?
      Answer question

      Question 2

      Q: Explain Ito's Lemma
      Answer question