Introduction to Market Risk Metrics and Fundamentals • TFA Interview Guide

Market risk management sits at the heart of modern financial institutions, protecting them from potential losses driven by movements in equity prices, interest rates, foreign exchange rates, and commodity prices. From the 2008 Global Financial Crisis to the 2023 collapse of Silicon Valley Bank, history has repeatedly demonstrated that inadequate market risk management can destabilize even the largest institutions and trigger systemic shocks across the global financial system.

This interview reference is designed to prepare you for technical discussions on market risk management roles at investment banks, asset management firms, hedge funds, and other financial institutions. It covers the fundamental concepts, quantitative metrics, and practical applications that form the foundation of market risk management practice.

The reference is structured around key topics that frequently appear in interviews:

Note: This is Part 1 of the complete Quantitative Market Risk Management interview series: TFA Interview Guide: Quantitative Market Risk Management: From Fundamentals to Practical Applications. For comprehensive coverage, refer to the companion references on VaR Computation Techniques and Implementation (Part 2), and Basel Regulatory Frameworks and Fundamental Review of Trading Book (FRTB) (Part 3).

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