CRISIL INTERVIEW QUESTIONS

Dhruv Jain

PANEL-1
1. What is a Risk that is not a VAR?

2. What is RNIV?

3. What is Bubble Sort .Time complexity of Bubble Sort?

4. What is space complexity?

5. Suppose there are two rooms in a station. Each contains 5 ticket windows.

Room 1 has 5 windows with 100 people in each line.

Room 2 contains people sitting 100 in each row.

One by one they proceed to each window.

Which room will you go? How will you model this using Poisson process?

6. The data from 2000 to 2010 is given per quarter. How will you model the data for next 10 years per
quarter such that the standard deviation is minimum?

7. Suppose you do a test for correcting heteroskedasticity? If instead of taking square of residual I take
Mean absolute deviation of error term and regress it again? What will happen to the Heteroskedasticity?

8. What is serial and partial autocorrelation?

9. Proof of ARMA process?

10. Equation for GARCH Process and how to model white noise?

11. ITO leema Applications

PANEL-2
1. Forward Payoff using options

2. Exotic Options pricing

3. How do you calculate spread of Bonds?

4. What is different type of Contracts?

5. Other than default risk what are the type of risk in Swaps.\
Gaurav Sharma

PANEL-1
1. Difference between Central Limit Theorem and Law of Large Number?

2. Name different types of discrete time stochastic process and continuous stochastic process?

3. What is martingale?

4. If there are 800 independent variables in a regression equation than how will reduce the number
independent variables?

5. What is autocorrelation? How will you detect it?

6. What is multicollinearity? How will you detect it?

7. What is endogeneity?

8. What is Monte Carlo simulation? Explain with an example?

9. What is VAR? How will you calculate VAR by historical method and Monte Carlo simulation?

10. Difference between R-square, adjusted R-square and pseudo R-square?

11. What is auto regression? How will you find the number of lag indicator to include in autoregression?

PANEL-2
1. How will you generate the payoff of binary option using plain vanilla options?

2. When is gamma highest?

3. What are inputs in Black Scholes Model?

4. What is call bull spread?

Sparsh Gupta
Panel-1
1. Draw payoff for synthetic forwards?

2. Payoff for long call and long put option?

3. What is a delta-one product?

4. Put-call parity equation and explain synthetic put option?

5. Considering Black-scholes model, we have taken a long call on interest rate options; calculate its delta
and gamma?

6. Tell me about CRISIL?

7. Give reasons for recent financial crisis?

8. Explain credit crisis in 2008?

Panel-2
1. Define Girsanov’s theorem and its applications?

2. Derive black-scholes derivation?

3. What do you understand by Ito’s lemma?

4. What do you mean by quadratic variation of Brownian motion?

5. What is Eigen-value and Eigen-vector, explain in layman terms?

6. Define cluster analysis and its applications?

7. Explain discrete jumps stochastic process and can you model this?

8. Difference between CLT and weak law of large numbers?

9. Give one practical application of weak law of large numbers?

10. We have given population regression line and we have error terms, which distance you consider from
population regression line in calculating the residuals?

11. Which MATLAB tools have you used till now, give some applications?
AASTHA ANAND
PANEL-1

1. What is a credit default swap?

2. How is a CDS priced?

3. Black Scholes Formula and assumptions

4. What is the payoff diagram for call option?

5. What is the payoff diagram for Futures?

6. How can you create a call option using futures?

7. What are the risks involved in trading with derivatives?

8. Why do you use derivatives?

9. What are exotic options?

10. Why Crisil?

PANEL-2

1) Write down taylor series expansion.

2) Consider the price of a bond = . Currently r=10%. If the discounting rate increases by 1%, then using
Taylor series calculate how much will be the increase in the price of the bond.

3) What are Eigen Values? Explain in layman terms. How is it applied in finance?

4) Lognormal distribution, its applications.

5) Autocorrelation regression

6) Autoregressive Moving Average…..its applications

7) Partial autocorrelation

8) Seasonality in a data

9) Explain Variance in very layman terms

Gangadharan
PANEL-1
1. Gamma distribution? Applications of Gamma distribution

2 Brownian motion

3 Super martingale and Sub martingale

4. Heteroscedasticity? Test for detecting the same.

5 Why do you square the residuals in OLS METHOD?

6 Pay off diagram for a binary option. How do you simulate the payoff using simple call and put options

7. Duration and Convexity of a bond?

8 Pricing of a bond

ABHISHEK BANERJEE

PANEL-1
1) What is a Swap?

2) What is an interest-rate swap?

3) What is bond convexity and duration?

4) As my internship was related to working capital, a few questions regarding working capital were asked.

5) How would you calculate the values of Delta, Gamma and Vega?

6) Walk me through your resume.

7) What value can you add to CRISIL?

8) What does CRISIL do?

PANEL-2

1) I was given data for a particular variable from 2000 to 2015. I was asked to find the values of the same
variable from 1990 to 2000.

2) As I am an Electrical Engineer, two questions from Electrical Engineering(related to filters) were asked
.
3) What is white noise?

4) What is GARCH? Why is it used? Write the equation?

5) What are the assumptions of OLS Model? What is GLS Model?

6) What is standard error?

7) While computing standard deviation for a sample, why do we divide the numerator by "N-1"?

8) When do we use Z-test and when do we use t-test?

9) What is an unbiased estimator? What is BLUE?

AKSHAY CHOTANI

PANEL-1
1. Explain Girsanov theorem.

2. Explain Markov chain and Martingale and give their difference.

3. PDF of Normal Distribution, diagram and its stationary point.

4. What is hypothesis testing and difference between F-test and t-test.

5. Derivation of the black-scholes equation.

6. Ito process and Ito lemma.

MANASI VERMA

PANEL-1
1) What is risk?

2) What are interest rates swaps?

3) Which will have higher risk fixed rate or floating rate?

4) What are options Greeks?

5) What are interest rate options?

6) For interest rate options which will be higher theta or rho?