11 questions reported in Citigroup interviews, organised by the group that asks them. Every question carries a model answer and graded feedback on your own attempt.
Questions
Easy · Medium
Hard
Model builds
Built in the spreadsheet grid
Greeks, skew, hedging costs and payoff construction. 4 questions
A first-round options screen for candidates who have not yet traded derivatives.
A client buys one call option and one put option, each on the same stock with a strike price of $100. Explain what each contract gives the buyer, who has the obligation, and what happens at expiry if…
Asked in markets interviews to see whether a candidate recognises that a profitable trade can still create credit exposure.
Two companies enter an over-the-counter FX forward. Six months later it has a $4m positive mark-to-market for Company A. What counterparty risk does Company A face, how does collateral reduce it, and…
A sales-and-trading first round checks whether a candidate can convert a foreign-currency liability into the client's functional currency.
A US company issues a five-year EUR 100m bond because euro funding is attractive, but it earns almost all of its cash flow in US dollars. Explain how a cross-currency swap can change the company's…
A client-facing structuring case testing whether you can translate an operating exposure into a proportionate hedge recommendation.
A US manufacturer will pay EUR 50m for components in six months. Its gross margin is only 8%, it cannot pass through a sudden euro appreciation immediately, and management wants protection but does…
Stochastic calculus, VaR and expected shortfall, and model limitations. 3 questions
This is a standard follow-up for market-risk analyst candidates.
Your desk has a one-day 99% VaR of $4 million. Explain precisely what that says, what it does not say, and how you would use it in a daily risk meeting.
This mirrors the morning escalation a market-risk analyst may prepare after a desk breaches an approved risk limit.
At 8:30am, a credit-trading desk's expected shortfall is $18m against a $15m limit, up from $11m yesterday. The trader says no meaningful risk was added. What would you investigate, and what would you…
Model validation teams ask this to test whether candidates understand governance as well as mathematics.
What is model risk? You inherit a pricing and risk model used to set limits. How would you decide whether it is fit for use?
Duration, curve trades, auctions, basis and central bank reaction. 1 question
Rates and government-bond desks ask this to test whether candidates understand how the benchmark asset is supplied.
Walk me through a US Treasury auction. What do "stop-out yield," bid-to-cover and tail tell a rates trader?
Pipeline risk-adjusted valuation, reimbursement and patent cliffs. 1 question
Healthcare services (hospitals, insurers, PBM) have different economics than medtech/pharma. This tests breadth.
Explain the business model of a hospital company. How do they generate revenue, and what are the key cost drivers?
Reserve-based valuation, commodity decks, contracted cash flows and PPAs. 1 question
Tests whether you understand sector-specific valuation metrics versus generic multiples.
Why do E&P companies trade on PV10 rather than EV/EBITDA, and what does PV10 actually measure?
Spread decomposition, liquidity, index arbitrage and dealer inventory. 1 question
A credit-trading desk simulation testing trade expression, liquidity discipline and client communication after a fast market move.
You are a credit-trading analyst supporting a desk that holds a large cash-bond inventory after a disappointing earnings release. Use the market updates to prepare a risk note for the desk head and…
Write your answer, get it graded on technical accuracy, completeness and communication, and see exactly which mechanic you missed.
Company tags reflect where a question type is commonly reported in interviews. They are not sourced from, endorsed by, or affiliated with Citigroup.