Citibank Data Scientist Interview Questions
Practice the exact questions companies are asking right now.
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...
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...
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 ...
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...
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 ...
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...
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...
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...
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...
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...