Risk Management interview preparation

Market, credit and operational risk, plus model validation, regulatory capital, liquidity and ALM, the statistical foundations and the Indian regulatory syllabus. Every question is either traced to a named firm from a public candidate report, or tagged at desk level when we could not trace it — and answers lead with the point, then the mechanism, then the limitation.

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100 questions, mapped to the firms that asked them

Questions: 100
Traced to a firm: 37
Firms: 12
Updated: September 2026

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005Calculate the one-day 99% VaR of a $100 million portfolio with 2 percent daily volatility.Market risk and VaRIntermediatetechnicalUBSRisk Management · Remote · 2020UBSRisk Management · Zurich · 2021
Say this
Parametric, assuming zero mean and normality: 2.33 times 2 percent times $100m, so about $4.66 million. Round it to $4.7m and say the assumptions out loud as you go.
Then walk it
1. The z-score at 99% one-tailed is 2.326. I'd use 2.33. At 95% it's 1.645, worth knowing cold because interviewers switch between them mid-question.
2. Daily volatility in money terms is 2 percent of $100m, so $2m. Multiply by 2.33 and you get $4.66m.
3. I'm assuming a zero expected return over one day, which is standard for a short horizon, and that returns are normal, which is the assumption doing all the work.
4. To scale to ten days, multiply by the square root of ten, about 3.16, so roughly $14.7m. That scaling needs independent and identically distributed returns, so it understates the number if volatility clusters or the market trends.
5. And the caveat I'd volunteer: because the real distribution has fatter tails than normal, this figure is probably too low at 99%. Empirically the 99th percentile of equity returns sits closer to 2.6 or 2.7 sigma than 2.33.
Where candidates lose it
Using 1.645 for 99% or 2.33 for 95%, or reaching for a calculator. Know both z-scores by heart, state your two assumptions before you multiply, and flag that fat tails make the answer conservative in the wrong direction.
Expect next
- Now give me the ten-day number.
- What if the portfolio had a 10 percent annual expected return, does that change it?
- How would the answer change if the returns were t-distributed with five degrees of freedom?
Reported by candidates at UBS (Risk Management, Remote, 2020); UBS (Risk Management, Zurich, 2021). Source: Wall Street Oasis.

Firm tags come from public, anonymous candidate reports on Wall Street Oasis: strong signal, not sworn testimony. Firms are named as the places a question was reported, not as partners of Fin Maverick. Answers are written for this page to show how to think out loud; they are not scripts to recite.

100 questions, mapped to the firms that asked them

Say this

Then walk it

Where candidates lose it

Expect next