Oxford Said MFE 2010年面试汇总

myice

Oxford MFE R3 面经

May 20面的，面试官口音好像香港人，没有听清楚名字。语音很清晰

上来我先做了3分钟自我介绍。
然后她问道了我在一个风险投资项目中的估值方法。
在我说了市盈率可比法之后又问了我怎么比较的，用了什么其他的财务比率没。
然后打断了我让我说流动比率和速动比率有什么区别。
这部分的最后又问了我上市公司和私有公司有什么区别。我尽力说了一些，但是她还是说我说的不够全，花了5分钟解释其他的区别。

第二部分是一道期权定价题。
证券1 时间0价格是90，时间1价格是100，
证券2 时间0价格是70，时间1若希腊留在欧元区价格为100，
证券3 时间0价格是X，时间1若希腊留在欧元区价格为0，

Q1 证券1问为什么有差价，答货币时间价值
Q2 问为什么是70，通过什么方法和那些变量计算出来的，答这个是期权，用二叉树
Q3 问X=10对吗，如果不是的话X等于几，说出你是怎么计算出来的，答20，可以通过证券2和证券3复制证券1

然后我问她一些问题。。
两部分答得都不是很好，好多次都是在面试官引导下才得出答案。。还被说我需要提高英语的表达水平
但愿有AD吧。。这次面经比较特别，贴出来造福后人。。

myice

Oxford MFE 2010面经

今天上午面试的，skype面试，网络连接一般，所以听不怎么清楚，说了一大堆sorry，pardon，excuse me。。。也没听到面试官的名字。
一开始问了我的academic background，介绍了一下自己，我说我是数学专业，没学过finance。然后马上到了学术问题
第一个问题是Monty Hall Problem，我当时完全不知道是什么，虽然他当时解释了3遍，可是我还是没听清楚，非常的杯具。所以乱答了几句，他很遗憾的说incorrect。后来wikipedia了一下，才知道是什么。
后来他让我说说financial innovation，他说虽然你没学过finance，但是说说这个应该没问题，于是我就开始用我仅有的知识说了说。
联系到了financial crisis，他又说那你觉得这些financial instrument和金融危机有啥关系呢，我又说了一通自己的理解。
后来谈到美国政府的bail out，他问我你觉得美国政府做得如何，我blabla说了一些。。。
最后又问了Why MFE，问我学过什么数学和经济课。
后来换我问问题，我就问了问他对美国政府bail out的意见。
总共耗时27分钟吧。。
觉得非常一般吧，本身也不抱太大希望。。。希望大家都offer多多！

myice

虽然被拒了,还是发上来吧, oxford mfe 面经

虽然挺难过得，不过就算是给自己这段牛津梦最后画一个句号吧。发些面经上来希望对大家后面的申请有帮助。

面试官估计应该是欧洲人，说话很转，没有太多客套。

1。externality

    说了什么是外部性

    market efficiency 政府应该采取什么样的措施

2。different exchange regime

3。compare the exchange regime in China and Singapore

4.   那种政策你会比较prefer, 货币政策还是财政政策

5。global imbalance and globalization

6. capm 什么意思，有什么好还是不好，如何改进

7。risk 什么是风险，如何测量

8。what do you want to do at mfe?

时间有点久了，记得就这么多，虽然当时感觉没犯什么错误，不过估计还是不够好吧，希望大家好运

myice

Oxford MFE Ad 附面经总结

27号等了一个晚上都没有任何动静，于是焦虑了一个周末。终于在刚才收到了ad。为了造福后人，我把我的面试经历总结一下：

其实面试的时候感觉挺郁闷的，因为我是9点半第一个面。在北京地铁上班高峰汹涌的人潮推挤下，9点10分到达地点，在楼下starbuck买了杯咖啡就上去了。居然正好和Prof. Sussman在同一间电梯里。不过因为和照片上有点小差异所以没敢认。然后他进了room，我在外面沙发待了一会。9点半他准时把我叫了进去。

Prof. Sussman果然是一个很严肃的人，不苟言笑。先是像审犯人一样问我背景（姓名，毕业学校，家庭电话号码（估计是为了防枪手替面））。然后就用冰冷不带一丝波动的语调简单的问了我关于我的专业，所获奖项等等内容。

然后就是Technical part了。不出意料的就是从我的毕设问起。我因为本科是mis专业，所以毕设做的是一个生产管理方面的topic。我才讲了几句，他就开始打断就我的毕设中的一个假定做challenge。我从operation的角度给他解释可是他就是死活不满意。后来明白他是想往经济意义上引。总之当时搞得我都快毛了。后来我明白他的真实意思后才回答了让他满意的内容。

接下来就是关于M&A.他在牛津就教这门课，而我在ps里写我的interest point就是这个，所以感觉撞枪口上了。不过他问我的内容并不深，也就是why you are interested in M&A? How do you evaluate the fact that most M&A deal destroy values? What are the motives for M&A? Please elaborate on how M&A could increase revenue? How M&A could reduce cost? On reducing cost, outsourcing is also a possible way to reduce cost, how do you compare outsourcing with M&A in eliminating redundancy? What do you think should be the most important motive for M&A deal? What are the most important factors when you analyze an M&A deal?

另外还有一个题：用一句话通俗易懂的解释什么是economics(上过曼昆书的同学都应该知道标准答案是“稀缺资源的有效配置”）。用一句话解释什么是Finance（参考wiki 百科的解释就是“时间资金和风险的权衡分配”）

面完的感觉其实很不爽，因为Prof Sussman给你的感觉是很冷，没有feedback，所以让你一点都不exciting。而且时间到了就立刻结束。害得我辛苦准备的非常technical的东西都没用上。既然如此，就把我之前整理的牛津MFE面经及回答附在这篇帖子后面。

P.S wiki pedia真是一个好东西，可以有效的让人速成很多专业知识。

myice

面试题目汇总：
1.        What is asset pricing? What is the basic idea behind asset pricing model?
Valuation is the process of estimating the potential market value of a financial asset or liability. Valuations can be done on assets (for example, investments in marketable securities such as stocks, options, business enterprises, or intangible assets such as patents and trademarks) or on liabilities (e.g., Bonds issued by a company). Valuations are required in many contexts including investment analysis, capital budgeting, merger and acquisition transactions, financial reporting, taxable events to determine the proper tax liability, and in litigation.
Asset Pricing theory tries to understand the prices or value of claims on uncertain payments.
Basic idea: price equal to expected discounted payoff
Positive use(实证): Why prices and returns are the way they are?
Another way of use: discover mis-priced assets
2.        好好看下macro micro econ 这两本书
3.        Under market microstructure, why there is a spread between bid and ask?
The size is a measure of liquidity and transaction cost. Rooted from the mechanism of deal: limit order, market order, trading frictions, market maker. It is due to the risk aversion of traders with liquidity risk.
Market microstructure: The area of finance that is concerned with the process by which investors’ latent demands are ultimately translated into transactions
4.        Why stock prices will soar in a few days after IPO?
5.        In OECD countries, why do you think there are financial disasters? Do you think the people who make the wrong decisions are well punished?
The Organisation for Economic Co-operation and Development (OECD)

myice

6.        What have you learned in Marxist Economics?
Marx employed a labour theory of value, which holds that the value of a commodity is the socially necessary labour time invested in it. Capitalists, however, do not pay workers the full value of the commodities they produce. The gap between the value a worker produces and her wage is a form of unpaid labour, known as surplus value.
7.        What are your academic weaknesses? What if we don’t offer you a place?
8.        What have you learned from Financial Economics?
The allocation and deployment of economic resources both spatially and across time in an uncertain environment.
9.        What do you think is the most important development in capital structure over the past 50 years?
Capital structure: The way a corporation finances its assets through some combination of equity, debt, or hybrid securities.
M&M theory, pecking order theory, static trade-off theory, personal taxation对investment choice的影响，agency cost
Trade-off theory allows the bankruptcy cost to exist. It states that there is an advantage to financing with debt (namely, the tax benefit of debts) and that there is a cost of financing with debt (the bankruptcy costs of debt). The marginal benefit of further increases in debt declines as debt increases, while the marginal cost increases, so that a firm that is optimizing its overall value will focus on this trade-off when choosing how much debt and equity to use for financing. Empirically, this theory may explain differences in D/E ratios between industries, but it doesn't explain differences within the same industry.
Pecking Order theory tries to capture the costs of asymmetric information. It tates that companies prioritize their sources of financing (from internal financing to equity) according to the law of least effort, or of least resistance, preferring to raise equity as a financing means “of last resort”.
Agency problems:
Asset substitution effect: As D/E increases, management has an increased incentive to undertake risky (even negative NPV) projects. This is because if the project is successful, share holders get all the upside, whereas if it is unsuccessful, debt holders get all the downside. If the projects are undertaken, there is a chance of firm value decreasing and a wealth transfer from debt holders to share holders.
Underinvestment problem: If debt is risky (eg in a growth company), the gain from the project will accrue to debt holders rather than shareholders. Thus, management have an incentive to reject positive NPV projects, even though they have the potential to increase firm value.
Free cash flow: unless free cash flow is given back to investors, management has an incentive to destroy firm value through empire building and perks etc. Increasing leverage imposes financial discipline on management.
Market timing hypothesis—capital structure is the outcome of the historical cumulative timing of the market by managers.

myice

10.        What is your future career planning after you return to China?
11.        What problems does the financial industry face? What strategies could the banks take to solve this problem?
12.        What do you think is the most challenging part of this course?
13.        Why do you like finance?
14.        What is finance? What is the text book for your corporate course? Microeconomics? Macroeconomics? Financial Economics?
The field of finance refers to the concepts of time, money and risk and how they are interrelated. Banks are the main facilitators of funding through the provision of credit, although private equity, mutual funds, hedge funds, and other organizations have become important. Financial assets, known as investments, are financially managed with careful attention to financial risk management to control financial risk. Financial instruments allow many forms of securitized assets to be traded on securities exchanges such as stock exchanges, including debt such as bonds as well as equity in publicly-traded corporations.
15.        How do you measure risk? The pros and cons of different risk measure? What is the classification of risk?
Standard Deviation
Value at Risk
Expected shortfall, or conditional VaR: The "expected shortfall at q% level" is the expected return on the portfolio in the worst q% of the cases.

myice

16.        What is your understanding of risk and return?
17.        你觉得CAPM用到的beta和Black-Scholes公式计算出的Implied Volatility虽然都是度量风险，但是在philosophy上有何不同。
CAPM属于absolute pricing: price each asset with reference to fundamental sources of macroeconomic. Black-Sholes属于relative pricing: given the prices of some other asset, what is the price of this particular asset. 后者与基本面关系不大，属于衍生定价。
In financial mathematics, the implied volatility of an option contract is the volatility implied by the market price of the option based on an option pricing model. In other words, it is the volatility that, when used in a particular pricing model, yields a theoretical value for the option equal to the current market price of that option. Non-option financial instruments that have embedded optionality, such as an interest rate cap, can also have an implied volatility. Implied volatility, a forward-looking measure, differs from historical volatility because the latter is calculated from known past prices of a security.
An ordinary option pricing model, such as Black-Scholes, uses a variety of inputs to derive a theoretical value for an option. Inputs to pricing models vary depending on the type of option being priced and the pricing model used. However, in general, the value of an option depends on an estimate of the future realized volatility,  , of the underlying. Or, mathematically:

where  is the theoretical value of an option, and  is a pricing model that depends on  plus other inputs.
The function f is monotonically increasing in  , meaning that a higher value for volatility results in a higher theoretical value of the option. Conversely, by the inverse function theorem, there can be at most one value for  that, when applied as an input to  , will result in a particular value for  .
Put in other terms, assume that there is some inverse function  , such that

where  is the market price for an option. The value  is the volatility implied by the market price  , or the implied volatility.
Often, the implied volatility of an option is a more useful measure of the option's relative value than its price. This is because the price of an option depends most directly on the price of its underlying security. If an option is held as part of a delta neutral portfolio, that is, a portfolio that is hedged against small moves in the underlier's price, then the next most important factor in determining the value of the option will be its implied volatility.
Implied volatility is so important that options are often quoted in terms of volatility rather than price, particularly between professional traders.
Example
A call option is trading at $1.50 with the underlier trading at $42.05. The implied volatility of the option is determined to be 18.0%. A short time later, the option is trading at $2.10 with the underlier at $43.34, yielding an implied volatility of 17.2%. Even though the option's price is higher at the second measurement, it is still considered cheaper on a volatility basis. This is because the underlier needed to hedge the call option can be sold for a higher price.
Implied volatility as a price
Another way to look at implied volatility is to think of it as a price, not as a measure of future stock moves. In this view it simply is a more convenient way to communicate option prices than currency. Prices are different in nature from statistical quantities: We can estimate volatility of future underlying returns using any of a large number of estimation methods, however the number we get is not a price. A price requires two counterparts, a buyer and a seller. Prices are determined by supply and demand. Statistical estimates depend on the time-series and the mathematical structure of the model used. It is a mistake to confuse a price, which implies a transaction, with the result of a statistical estimation which is merely what comes out of a calculation. Implied volatilities are prices: They have been derived from actual transactions. Seen in this light, it should not be surprising that implied volatilities might not conform to what a particular statistical model would predict.

myice

18.        What factors other than risk and return are you interested in when making investment decisions?
Budget constraint, Investment horizon, individual risk tolerance and utility preference, overall financial planning objectives
19.        How do you hedge your portfolio? What is diversification?
In finance, a hedge is a position established in one market in an attempt to offset exposure to the price risk of an equal but opposite obligation or position in another market — usually, but not always, in the context of one's commercial activity.
Diversification in finance is a risk management technique, related to hedging, that mixes a wide variety of investments within a portfolio. It is the spreading out investments to reduce risks.
There are three primary strategies used in improving diversification:
Spread the portfolio among multiple investment vehicles.
Vary the risk in the securities. A portfolio can also be diversified into different mutual fund investment strategies, including growth funds, balanced funds, index funds, small cap, etc.
Vary your securities by industry, or by geography. This will minimize the impact of industry- or location-specific risks.
20.        Please explain "hedge fund" to a person who doesn't know about finance. What is the difference between hedge fund and mutual fund?
Hedge funds as a class invest in a broad range of investments extending over shares, debt, commodities and so forth. Hedge funds often seek to offset potential losses in the principal markets they invest in by hedging their investments using a variety of methods, most notably short selling.
Difference: client base, investment target, regulation difference
Mutual funds are regulated by the SEC, while hedge funds are not
A hedge fund investor must be an accredited investor with certain exceptions
Mutual funds must price and be liquid on a daily basis

myice

21.        Did you take any courses related to asset pricing?
Corporate finance, financial economics, investment, …
22.        Please sum up CAPM. What does beta mean? Why is beta so important? What is the usage of CAPM? What is the limitation of CAPM?
Capital Asset Pricing Model (CAPM) is used to determine a theoretically appropriate required rate of return of an asset, if that asset is to be added to an already well-diversified portfolio, given that asset's non-diversifiable risk. The model takes into account the asset's sensitivity to non-diversifiable risk (also known as systemic risk or market risk), often represented by the quantity beta (β) in the financial industry, as well as the expected return of the market and the expected return of a theoretical risk-free asset.
Assumptions of CAPM:
Aim to maximize economic utility.
Are rational risk-averse.
Are price takers, i.e., they cannot influence prices.
Can lend and borrow unlimited under the risk free rate of interest.
Trade without transaction or taxation costs.
Deal with securities that are all highly divisible into small parcels.
Assume all information is at the same time available to all investors.
Short-comings:
Normal distributed return assumption
Use variance to measure risk
Homogeneous expectation assumption
Assumes that the probability beliefs of investors match the true distribution of returns
Investors choose assets solely as a function of their risk-return profile and it is divisible
23.        What is the relation between CAPM and APT?
The APT along with the capital asset pricing model (CAPM) is one of two influential theories on asset pricing. The APT differs from the CAPM in that it is less restrictive in its assumptions. It allows for an explanatory (as opposed to statistical) model of asset returns. It assumes that each investor will hold a unique portfolio with its own particular array of betas, as opposed to the identical "market portfolio". In some ways, the CAPM can be considered a "special case" of the APT in that the securities market line represents a single-factor model of the asset price, where beta is exposed to changes in value of the market.
Additionally, the APT can be seen as a "supply-side" model, since its beta coefficients reflect the sensitivity of the underlying asset to economic factors. Thus, factor shocks would cause structural changes in assets' expected returns, or in the case of stocks, in firms' profitabilities.
On the other side, the capital asset pricing model is considered a "demand side" model. Its results, although similar to those of the APT, arise from a maximization problem of each investor's utility function, and from the resulting market equilibrium (investors are considered to be the "consumers" of the assets).
24.        Topics in Statistics: mean, variance, skewness, kurtosis, regression, bias, symptotic, …
25.        The basic idea behind calculus