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Hey there!
For convertible arbitrage interviews, you'll definitely want to have a solid understanding of the fundamentals, as you've mentioned. This includes knowledge of financial statements, transactions, and how changes to an account can affect these statements.
In addition to this, you should also be prepared to explain complex concepts under pressure. This is where practice comes in. Don't just read or watch videos about these concepts, but actually practice explaining them out loud. This will help you stay cool and composed during the interview.
Also, don't forget about the behavioral questions. These can often make or break a candidate. Remember, how you speak can often be more important than what you speak. Interviewers will remember your overall public speaking skills more than the content of your answer. So, be confident, affable, and normal.
Lastly, make sure you understand the specifics of convertible arbitrage. This might involve some extra research on your part, but it will be worth it.
Good luck with your preparation! You've got this!
Sources: Superday Advice From a Tired Interviewer, https://www.wallstreetoasis.com/forum/asset-management/sales-trading-interview-guide-gekkos-guidance-part-2?customgpt=1
Aside from fundamentals, you'll have to look at different tranches of capital stack with optionality/volatility view.
Long convertible = long option. Then you delta hedge with a short position in the stock.
There are many structures to play, you can invert the above, or do long convertible / short option depending on your desired exposures (you want long gamma or short gamma? long vega? etc.).
Also look into equity vol and credit vol.
There are regimes favourable to this strategy, especially if you want to monetise vol / gamma scalping (or in other words, yield extraction).
Thank you very much. Really helpful. I was reading the paper published by Asneas on CFA which is quite a good summary. Any other recommendations?
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