Fixed income analytics

justaname:

PAGuy:

justaname:

Hi all,

I tried searching through the site for anything related to fixed income analytics. I understand the job is heavily math and progamming based, but I'm curious as to what level of each is really required for an entry level job roughly right out of underground? I understand the basics of bond math, but I'm afraid that my lack of coding skills will put me at a serious disadvantage in the interviews. If anyone could potentially shed some light as to what I'd be doing on a daily basis or what the interviews are generally like, I would love to hear from you. Please note that I don't think I have a full interview yet. I will just be meeting with one person from the office, and I hope that will span to more interviews. In the meantime, I don't want to make myself seem like an idiot for not knowing what I'd be actually doing.

How much do you know about fixed income analytics? If you known the stuff in Bruce Tuckman's book well then you are good to go.

My apologies for the late reply. I've glimpsed through Tuckman's book, but I've mostly been reading Hull. I'd say I have a decent understanding of all the basic fixed income info (pricing, duration, convexity, forward rates, swaps). What I'm more curious about is if you think I'll be asked to structure a synthetic CDO or run through valuations of swaptions beyond straight European swaptions? I'm reading up on it, but given the fact that it's a multi-group interview where I'll be interviewing with 3 different groups in the bank (fi analytics, trading, and ibanking), I need to dedicate some time to prepping for other groups and behaviorals and I don't think I'll have time to fully understand the higher level fixed income products to the point of being able to simply relay information during an interview.

The reason I mentioned Tuckman's book is that it is focused solely on fixed income analytic and is fairly comprehensive in its coverage of the subject. So it is useful both as review materials and as guide to finding knowledge gaps. Note that it is not a technical book so should be a quick read.

As to potential questions, if the group your are interviewing with deals with structured credit products then it would make sense to review these. Since you can't possibly be knowledgeable of all products, at least know the fundamentals well, i.e. know at least how to value the vanilla instruments in each category, what is their duration/convexity, those sort of things. So that when you are encountered with a question dealing with an exotic variant of a particular instrument that you are indeed familiar with, you can ask intelligent question BACK TO the interviewer. People don't expect you to know all the products, but do expect you to have a certain level of base knowledge, intelligent and logical thought process and aptitude to learn new things. You just need to figure out how to convey that impression during the interview.

As to the specifics, you mentioned structuring synthetic CDO (A great CDO book, out of print, published by Wachovia by Brian Lancaster), and In this case, it is worth your time investigating the primary business of the group/company you are interviewing with. So that it would help you narrow down and anticipate the potential questions that they might be asking you; potential answers such as how the pricing and sizing of tranches are done, what are the typical credit assets backing these CDO tranches, what is the typical structure, who the primary investors, how are these rated? etc. could come up depending what your target company/group mainly does. The point is to do your homework well so that you come across as prepared and committed to this gig.