Market Risk / ALM Position

May have a short phone interview for a Market Risk / ALM position. They want to test my background in fixed income modeling and ALM modeling. What stuff should I be prepared for, or be researching in advance. Anybody work in this field and have insight into day to day and methodology? They’re using QRM on the ALM side of the job, and I’m not sure how they’re handling their FI valuation.

Yo, again, I can’t help you (I’m 0/2 this week brah). But, the value of anything is the present value of it’s future cash flows or as a multiple of a comparable of some sort. Perhaps you could bust out that L1 book and revist bootstrapping, yield curves, basis point spreads, and so forth as that is how FI is valued.

And that’s about all I got for ya. It may impress a bimbo at a bar, but not Bill Gross.

ALM is L3 material, so that may be more relevant.

You know what kills me, people in this industry are so hell bent on “if xyz doesn’t have this exact identical background, there’s no possible way they could perform this job I could train a monkey to do” regardless of whether or not XYZ candidate has an MS in Finance, CFA, and several years of very closely related experience.

Yeah, I was looking for some feedback a little more like “here’s how we actually do things in the industry”, I do plan on going through the ALM and MBS section a bit this weekend.

^ Effin tell me about it! Let’s face it brah, we’re not special (cue hate). But we’re not. We’re not rocket scientists, chemical engineers, surgeons, and we’re certainly not saving the fcking manitees. We’re number monkeys who push buttons on a keyboard all day long. Nearly every finance job I’ve had (which is more than I care to admit) could be taught to a talented 5th grader.

It kills me when they’ll feel a fixed background will instantly fit with their opening. Financial skills are maleable and an amazing plastic that can be applied to many different positions, departments, locations, and firms.

^ True that.

I have worked as a Market Risk Manager at a bank looking after their Rates business.

From the information you have provided, I would certainly look up concepts and practices on ALM hedging.

From my experience, you should definitely know the various VaR methodologies very well. Besides, you should brush up your interest rate risk concepts,Greeks, volatility (smile, smirk, surfaces etc.). I am assuming they have non-linear products on their FI books. Yield curve cosntruction, including multi-factor forward rate models

Thanks CFASniper, will do.

Also, brush up FI valuation concepts from L2.

Double post

It frustrates me too, but I guess it’s their way of narrowing down 1000s of applications to 3-6 that they might actually interview. If you have gotten to an interview stage, then your best strategy is probably to show that you’ve boned up on the material, and then give examples about how adaptable you are and how you’ve gotten up to speed quickly on things that were required of you in previous jobs. Of course do this without making apologies for not knowing everythign that is relevant to the new job, just show confidence that you can and will do the work required to fill anything that needs filling.

Should I really bring my personal life into the interview?

Ay-ohh! Zinger, BS.

This wouldn’t be for a bank begining with a P would it?

Of course, he did say you want to show you’ve “boned up on the material”. Listen to the bchad.

Also, it would help to know what you specifically mean by FI modeling. It’s a very broad and vague term and could mean anything / everything other than equities, commodities and alternatives.

Nah, assuming you meant PNC?

Yeah, I know they are hiring in market risk now.


I like your swag today, bro. I seriously can’t believe I get a paycheck to do my job, until I try to train someone else, then I realize how hard it is to find a talented 5th grader.

Soooo frustrating.