Credit Trading interview - Phone interview for a credit quant

Nijikon's picture
Rank: Orangutan | banana points 268

Hey WSO,

I have a phone interview for a credit quant trading role at a BB. 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 arbitrage. 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,
Nijikon

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Comments (7)

Dec 31, 1969

Depends on the bank. Expect brainteasers, competency questions and mental arithmetic.

Dec 31, 1969

grip

Dec 31, 1969

What type of position is it for on the desk? What is your experience? I've had a few interviews that were just competency based, nothing technical at all. They wanted to know if I would get along with the desk and handle the work

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Dec 31, 1969

CDS Basis by Choudry is a GREAT book if you need to learn it quickly. Its very short and doesnt feature a heavy quant background, as in it focuses on the practical concepts. You can get through it within a day.

This is also a good PDF to go through:
http://www.yieldcurve.com/Mktresearch/files/Future... Although its more related to govies