I have a phone interview for a credit quantrole at a . My background is math major from top 10 US school then forex quant trading, a fairly equal between split intraday long / short using mathematical and technical techinques and spot / forwards . Some techniques I use employ stochastic calculus in the form of hitting probabilities and exit times.
What would be your recommendation for this upcoming interview? Let's assume for now it'll be both technical and theory.
My rough plan right now is to slant towards the mathematics side of things with a general sense of credit strategies. I should be good for the programming.
1. Stochastic Processes - Hitting Probabilities and exit times (my core skillset)
2. Girsanov theorem and risk measures.
3. The different type of credit derivatives.
4. Multithreading, classes, inheritance, design patterns, most of which I'm familiar with.
What I need some direction in are 1. the key concepts in stochastic calculus that is specific to this business 2. the basic credit trading strategies.
Thanks and cheers,
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