DV01 Quant Interview Guide
DV01 quant interview guide covering basis point value, sign, scaling, hedging, curve buckets, and examples.
Candidates discussing interest-rate sensitivity and hedging.
DV01 is dollar sensitivity to one basis point
DV01 estimates how much a position value changes for a one-basis-point move in rates, usually expressed in currency terms.
Sign conventions matter
A long fixed-rate bond usually loses value when yields rise, but desk conventions may report DV01 as positive exposure or signed PnL sensitivity.
Concrete example
If a position has 10,000 dollars of DV01, a one-basis-point adverse move costs about 10,000 dollars under the stated convention.
Curve buckets are more precise
A single DV01 can hide whether exposure is concentrated in the two-year, five-year, or ten-year point. Bucketed DV01 helps hedge curve risk.
Common mistakes
Candidates often treat DV01 like duration without units. Always specify the currency amount, rate move, sign, and curve point assumption.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.