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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
easyAbsorption RatioeasyEWMA Pearson CorrelationeasyParametric Expected ShortfalleasyHistorical Value-at-RiskeasyMaximum Drawdown and Calmar RatioeasyLopez VaR Scoring RulemediumFactor Covariance EMA UpdatemediumGarman-Klass Volatility EstimatormediumEWMA Covariance MatrixmediumOmega RatiomediumModified Sharpe RatiomediumParametric Component VaRmediumCornish-Fisher Parametric VaRmediumKelly Criterion Position SizingmediumKupiec Proportion of Failures VaR BacktestmediumConditional Drawdown at RiskmediumExpected Shortfall (CVaR)mediumLGD Beta Distribution FitmediumEWMA Beta Hedge RatiomediumUlcer IndexhardMarginal Contribution to Parametric VaRhardHill Estimator for Tail IndexhardCornish-Fisher VaRhardMerton Distance-to-DefaulthardKalman Filter Dynamic BetahardSpectral Risk MeasurehardGPD Tail VaR (Peaks Over Threshold)
View all 27 risk management questionsRelated topics