Credit Trading interview

[Phil]

Hey QuantNet forumers,

I have a phone interview for a credit quant trading role at a BB. My background is math major at 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,
Phil

 

[shivgan joshi]

thanks Phil for posting.

Is this programming:
. Multithreading, classes, inheritance, design patterns, most of which I'm familiar with.

?

 

[Phil]

Hello Shivgan Joshi,

Yup, those concepts are programming. The usual quant competencies the candidate needs to know to implement whatever models or execution of the models.

Looks like it's quiet here in terms of the mathematics and finance I need to know for this credit trading position.