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Markets & trading
Risk Management
VaR, position sizing, Kelly criterion
Overview
About risk management questions in quant interviews
Value-at-risk, position sizing, and Kelly-criterion betting — the risk questions that test whether you can size a trade, not just price it.
How to study this topic
A path that works
- 1
Start with the easy set
Warm up with the 6 easy risk management questions. Quick wins build pattern recognition before complexity ramps.
- 2
Drill the medium tier next
14 medium questions sit in the sweet spot where most interview questions cluster. Time yourself, then redo any you missed two days later.
- 3
Stress-test on hard problems
7 hard questions simulate the on-site round. Skip looking at solutions for at least 20 minutes, then write up your approach.
The library
All 27 risk management questions
easyEWMA Pearson CorrelationeasyMaximum Drawdown and Calmar RatioeasyAbsorption RatioeasyHistorical Value-at-RiskeasyLopez VaR Scoring RuleeasyParametric Expected ShortfallmediumGarman-Klass Volatility EstimatormediumKupiec Proportion of Failures VaR BacktestmediumUlcer IndexmediumCornish-Fisher Parametric VaRmediumLGD Beta Distribution FitmediumParametric Component VaRmediumKelly Criterion Position SizingmediumFactor Covariance EMA UpdatemediumEWMA Covariance MatrixmediumEWMA Beta Hedge RatiomediumModified Sharpe RatiomediumOmega RatiomediumExpected Shortfall (CVaR)mediumConditional Drawdown at RiskhardHill Estimator for Tail IndexhardMarginal Contribution to Parametric VaRhardKalman Filter Dynamic BetahardGPD Tail VaR (Peaks Over Threshold)hardCornish-Fisher VaRhardSpectral Risk MeasurehardMerton Distance-to-Default
View all 27 risk management questionsRelated topics