CitiBank Data Scientist Interview Questions
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Price options and bonds via binomial no-arbitrage
Binomial No-Arbitrage Pricing: Options and Bonds Setup and Assumptions - Two-period models; per-period simple compounding. - Discount per period: (1 +...
Diagnose and fix linear regression assumption breaks
OLS Assumptions, Diagnostics, Remedies, and Refitting Under Heteroskedasticity and Multicollinearity You are fitting a linear regression with Ordinary...
Compute expected payoff of reroll dice game
Repeated Die Rolls with Stopping Rule and Costs You repeatedly roll a fair six-sided die. After each roll you immediately receive a payout equal to th...
Compare CECL vs incurred loss
CECL vs. the Prior Incurred Loss Model Context You are advising on US GAAP credit loss estimation for a lending portfolio. Compare the Current Expecte...
Write SQL for rolling default rates
Write a SQL query to compute 12‑month rolling default rates by customer segment. Assume table loans(month DATE, segment TEXT, defaults INT, accounts I...
Handle missing values for LGD modeling
Handling Missing Values for LGD Modeling Context You are building a Loss Given Default (LGD) model using account- and borrower-level features captured...
Explain PD model validation steps
Validate a Newly Developed Probability of Default (PD) Model Context Assume you have built a retail credit Probability of Default (PD) model with a 12...
Design Excel visuals for risk results
Excel Dashboard Design: Communicating EL, RWA, and Concentration Risk Context You are preparing an Excel dashboard for a credit portfolio review that ...
Identify top exposures and mitigate
Portfolio Risk Identification and Mitigation Proposal Context You are evaluating a commercial/corporate lending portfolio. Assume you have loan-level ...
Compute EL and RWA from loan data
Task: Compute Portfolio EL and RWA from Loan-Level PD, LGD, EAD Context You are given an anonymized, loan-level dataset with at least the following fi...
Ensure model ethics and governance
Ensuring Model Ethics Across Development and Deployment Context You are interviewing for a Data Scientist role in a highly regulated financial institu...
Discuss logistic regression limitations for PD
Limitations of Logistic Regression for PD (Probability of Default) Modeling Context You are building a credit risk Probability of Default (PD) model w...