Quant Job interviews can be an intimidating process. After months of studying a stack of quantitative finance books, programming up models in C++ and researching every brainteaser known to man, it is still hard to feel prepared. So what should you expect in a quantitative interview?
Firstly, note that the interview process will be vastly different between a large bank and a small fund. In particular, the large bank will have a dedicated HR process, and so the first interview could possibly be with a non-technical HR manager. They will be screening you based on personality and suitability for the role, but not in a technical sense. In a fund the opposite is likely to be true. Funds tend to have a smaller headcount. The first interviewer is likely to be someone you’ll be working with directly and the interview will be more technical in nature.
It is not uncommon these days to have an exam to sit through – in either a fund or a bank, which is a straightforward way for the firm to gauge your intelligence. These exams usually consist of a few topics such as mathematics/statistics, financial knowledge and development/programming. In essence, the firm is trying to see where your strengths/weaknesses lie, so that they can assign you to the best department. Once an exam has concluded, you will either be asked for a second interview or given a polite refusal.
Once in a technical interview, the questions can vary immensely. One thing is relatively certain though – you will be asked about any projects (Masters or PhD theses) that you have carried out in the past. The mathematical and computational content of such projects will be analysed in depth, so make sure you can discuss all aspects of your work and can show where you utilised clever or little known tricks (this will impress the interviewer!). For instance, you could discuss your decision about which model to use, then which language/data structures you chose to implement it with, stating the pros and cons regarding memory/processing speed, for instance.
The bulk of the interview will concentrate on your mathematical and computational ability, with a skew to one or the other depending upon the role you are seeking and your prior background. The mathematical content will largely depend upon the type of role you are seeking. If you are interviewing for a bank, you should expect many questions about different derivatives pricing models, which model should be used in which situation, their pros/cons and when they break down. A fund will almost certainly consider your statistical/machine learning capability and will provide you with some challenging probability questions.
The computational content of the interview will generally involve having to write some non-trivial functions in an object-oriented language, such as an efficient prime number generator or similar. I’ve seen anything from optimising matrix storage to questions on logic gates, so be prepared for a wide variety. The best way to study for these problems is really to implement as many models/functions as possible, using code interview books as preparation. The more time you’ve spent “at the coalface” the more you can discuss in the interview.