500+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
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Difficulty: Hard
Category: risk_management
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: spectral_risk, risk_aversion, coherent_risk_measure, expected_shortfall, risk_management
Spectral risk measures (SRMs) generalize Expected Shortfall by weighting the entire loss distribution, providing a nuanced view of tail risk. Using an exponential risk spectrum allows for modeling an investor's risk aversion by assigning exponentially greater weight to larger losses. SRMs are integral to economic capital frameworks and stress-aware portfolio construction. Task Implement the function spectral_risk_measure(returns: list, gamma: float) -> float to calculate the spectral risk measu
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