Interview Question: Extreme Questioning

Sample Question #217 (statistics)

Tell me everything you know about extreme value theory.

(Comment: this is a cross between a technical question and a case question. It’s technical because it covers a specific quantitative topic, that of extreme tail risks. It’s case-type because it’s an open-ended question and you probably don’t even need to provide technical details. If you’re asked to "talk about what you know about XXX theory," use this approach: what problem does the theory try to solve, what assumptions is the theory based on, and what general techniques/models does the theory employ, and what kind of criticism is out there in the literature either for or against the theory.)

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One Response to Interview Question: Extreme Questioning

  1. Brett says:

    ANSWER
     
    The least you should know is extreme value theory is an attempt by statisticians to model extremely rare events, such as once-a-century floods or 100-standard-deviation drops in the stock market. Indeed, it’s having a redux in popularity among hedge funds, after the summer ’07 credit market fiasco.
     
    I found a good overview article here (in PDF) that requires no advanced statistics knowledge.
     

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