Risk Management interview preparation

Questions

100

Traced to a firm

37

Firms

12

Updated

September 2026

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All firmsUBS14MSCI7BLBlackRock5FTFranklin Templeton3Oaktree Capital Management2Scotiabank2Jane Street1Moody's1Neuberger Berman1PIMCO1SSState Street1TSTruist Securities1

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All topicsMarket risk and VaR14Tail risk and stress testing5Greeks and sensitivities5Credit risk11Counterparty risk and CVA6Operational risk5Model risk and validation6Regulatory capital7Liquidity risk and ALM6Statistics and quant foundations7Indian regulation7Risk governance and appetite4Markets and macro9Fit and career8

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1. 065A bank funds long-dated fixed-rate securities with uninsured corporate deposits. Walk me through everything that can go wrong.Liquidity risk and ALMHardcase studyTreasury and ALMBank market risk

   Say this

   That's the Silicon Valley Bank structure, and it fails in a specific sequence: rates rise, the asset side loses economic value without showing it in the accounts, depositors leave because they have better options, and selling the assets to pay them crystallises the loss and destroys the capital.

   Then walk it

   1. Step one, the duration mismatch. Long fixed-rate assets and overnight liabilities means economic value of equity falls hard when rates rise, even while net interest income looks fine for a while because deposit rates lag.
   2. Step two, the accounting shield that becomes a trap. Securities classified as held-to-maturity aren't marked through capital, so the loss is invisible in the reported ratios. SVB had roughly $15bn of unrealised HTM losses against about $16bn of equity at the end of 2022. The capital ratio said nothing was wrong.
   3. Step three, the depositor incentive. Uninsured corporate treasurers are rate-sensitive and professional. When T-bills yield 5 percent and your account pays 0.5, they leave for economic reasons before there's any fear. That's a slow outflow that forces asset sales.
   4. Step four, the crystallisation. Selling HTM securities to fund outflows moves the loss from a footnote into the income statement and the capital ratio. Worse, selling any of the portfolio can force reclassification of the whole HTM book under the accounting rules, which is why banks resist it until they can't.
   5. Step five, the run. Once the loss is public, uninsured depositors with a 100 percent loss-given-failure have every incentive to leave first, and they can now do it in an afternoon from a phone with a group chat coordinating them. SVB lost about $42bn in a single day.
   6. Step six, concentration as the accelerant. A depositor base drawn from one industry with shared advisers and shared venture investors is not a diversified funding book. It's one depositor with many accounts.
   7. What the risk function should have done: report EVE alongside NII and escalate the gap, treat unrealised HTM losses as economic capital regardless of accounting, model uninsured deposits with far faster run-off, set a concentration limit on depositor type, and hedge the duration with swaps. The last one is the cheapest and SVB had almost none on.
   8. And the governance point: SVB had no chief risk officer for part of 2022 and its interest rate stress scenarios had reportedly been changed to be less severe. The measurement failure was downstream of a governance failure, which is almost always the case.

   Where candidates lose it

   Describing it as a liquidity problem only, or a rate problem only. It's the interaction, plus an accounting classification that hid the loss, plus a concentrated and professional depositor base. Candidates who name the HTM accounting treatment and the depositor concentration show they've read the post-mortem rather than the headline.

   Expect next

   • Why didn't the capital ratio show the problem?
   • What single hedge would have changed the outcome?
   • How would you set a depositor concentration limit?

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.