quant fixed income intern interview

[nociton]

I have an interview with Pru fixed income for a quant intern position.

What kind of an interview should I expect for an undergrad quant position..more technical??? more brainteasers???

the position includes building and maintaining derivative models, and building spread sheets in excel

any help is greatly appreciated

 

[Tsotne]

http://www.quantnet.com/forum/threads/quant-interview-questions-you-should-always-expect.5685/

This has originally been posted by Andy. You could have searched the forum. This might be helpful

 

[Joy Pathak]

I have an interview with Pru fixed income for a quant intern position.

What kind of an interview should I expect for an undergrad quant position..more technical??? more brainteasers???

the position includes building and maintaining derivative models, and building spread sheets in excel

any help is greatly appreciated

Know the bond mathematics well. Be ready to calculate or explain Duration, Convexity and shocks in yield curve and their effects well. Know some common Fixed income products like MBS,CDOs, Credit tranches, etc well.

 

[Tsotne]

@nociton

One recent example from my university graduate few days ago:

Take Joy's advice into account and also pay attention details in credit derivatives since he was asked only questions about them. First question was about the pricing bond when coupon dates do not match the delivery date when reselling the bond. Second, he was asked many questions from pricing credit derivatives with many underlings --- reviewing copulas might be helpful.

Good Luck

 

[DominiConnor]

It's also worth reading The Economist/Bloomberg/Reuters at bit so that you can at least show you have some genuine interest in how markets are acting.

 

[goldski]

Know all the yields. 10 yr for sure and know how it has been moving last 2 months atleast.

Know 10 yr bunds. Know $-EUR/Yen/CAD/Yuan atleast

 

[Tsotne]

Fixed income interview questions

Fixed income interview questions

1. Graph the price yield relationship of bonds.


2. What is duration/Macaulry duration/Modified duration? Show me.

3. What is convexity?

4. The following are prices of four different bonds: 25, 23, 22, 24. Assuming that you can sell or buy these bonds at no cost, if you know that tomorrow, three of them will go to 0 and one of them, 100, how would you arbitrage? (buy them all)

5. How would you explain credit spread?

 

[Tsotne]

1) Share something about your candidature and background?
2) Do you have any experience over fixed income concept? Have you done any project on fixed income?
3)Explain duration? Differentiate between modified and macaulry duration? Where can you use these durations?
4) What do you understand by credit spread? Define convexity?
5) Discuss the factors behind credit risk?
6) Suppose you have three bonds having values: 24, 22, 25, 26 and you can buy and sell these bonds at no cost. Next day, you come to know that their price has gone up? Explain will you buy all these bonds?
7) Explain the different factors which play important role in fixed income market?
8) What are the different forms of fixed income available in the market?
9) Do you think there is less risk by investing money in fixed income plans?
10) State the price yield relation of bonds? What is the method to find out whether the bond in cheap or expensive?

 

[Tsotne]

@nociton

Can also be asked questions about callables/puttables, embedded bonds. MBS pricing.

 

[nociton]

thank you for all the advice, will take all into consideration while preparing for the interview.

it seems the majority believes it could be very technical. I was not sure what to expect, my resume was given internally and I was called to be informed i will be meeting with Operations heads as well as Quant heads, for two different positions I presume. Will get studying...thanks again.

 

[Tsotne]

Good Luck with it

 

[D C]

Treasuries here: http://www.treasury.gov/resource-ce...interest-rates/Pages/TextView.aspx?data=yield

What happened on August 6th, 2011? What happened to 10yr yields around that time? Where are we now?

 

[John]

How is the IRR calculated in Excel? what are the potential problems associated with using this Excel formula?