Derivatives Structurer
The round for the desk that turns a client's view into a note. It is an options interview first — parity, the Greeks, the smile — because every structured product is a bond plus options and nothing else. Then it goes where vanilla pricing stops: barriers and digitals, averages and forward-starting payoffs, correlation on a basket, the issuer's credit behind a note sold as protected, and what the desk is left holding once the client has the coupon. Expect a term sheet, and expect to be asked what the investor is short more than once.
Before you start
- 21 questions in 50 minutes. The clock does not stop.
- No hints, no worked examples, no indication of difficulty.
- You are never told whether an answer was right — not after a question, not at the halfway mark.
- A good answer sometimes draws a follow-up, exactly as it would in the room.
- You may leave a question blank and move on. Blank scores the same as wrong, and costs less time.
- No pricer. Every number here comes out of a decomposition, a parity relationship or a rule of thumb you should already carry.
- Everything — scores, mistakes, the correct answers, and what to study — arrives in the debrief.
What it covers
21 questions drawn across 8 subjects. You are never told which subject a question belongs to, or how hard it is meant to be — the debrief scores each one separately.
The clock starts when you press Begin on the next page, and it does not stop. Set aside 50 uninterrupted minutes.