OLS, linear regression assumption, which assumption is the most important one? How would you explain MLE to a novice, MLE for logit regression, derive BS formula, how does merton uses option pricing theory for modelling probability of default....there were a lot of questions but they wanted to see that you know what you are talking about, that you are really familiar and experienced with the topics. No super hard maths questions like for a quant role. The interviewer told me itself, we are looking for 33% consultant 33% mathematician and 33% programmer....a blend....
