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Quantitative Finance · Glossary

What is Integrity scenario?

Definition 28.4 The Interview Book · Chapter 28 — Behavioural and Fit

An integrity scenario is an interview question that describes a situation with a conflict between a candidate’s interest and a rule or duty (possible inside information, an error that only the candidate has seen, pressure to present a result one doubts) and asks what the candidate would do.

Average number of trading days between daily losses of at least k standard deviations, when daily P&L is normal or follows a Student t distribution scaled to the same standard deviation. A three-standard-deviation loss comes once in 741 days under the normal and once in 144 under the t with three degrees of freedom; at five standard deviations the gap is a factor of several thousand. Data: fig_iv_tails.py.
Figure 28.1. Average number of trading days between daily losses of at least kk standard deviations, when daily P&L is normal or follows a Student tt distribution scaled to the same standard deviation. A three-standard-deviation loss comes once in 741 days under the normal and once in 144 under the tt with three degrees of freedom; at five standard deviations the gap is a factor of several thousand. Data: fig_iv_tails.py.
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