How to prepare well for an exotic hybrid credit trading role

Money · November 23rd, 2005, 1:04 am

What type of questions expected ?I went for an interview recenty and s.rewed up. Feel very bad about it.Now it;s time to gear up and well prepare myself.ANybody interviewed such role before ? ANy idea to share ?

CB · November 23rd, 2005, 2:05 am

QuoteOriginally posted by: MoneyWhat type of questions expected ?I went for an interview recenty and s.rewed up. Feel very bad about it.Now it;s time to gear up and well prepare myself.ANybody interviewed such role before ? ANy idea to share ?which bank did you go? what type of questions were asked when you were there?

Money · November 23rd, 2005, 11:34 am

any idea ?

macfly · November 24th, 2005, 12:36 am

What is your background ? Is the position a first entry level ?

Money · November 24th, 2005, 12:02 pm

Yes, then ?

player · November 24th, 2005, 12:35 pm

They'll probably give you an example of some exotic option and ask you how to price/hedge it???

Money · November 25th, 2005, 1:53 pm

any example ?

monlavingia · November 25th, 2005, 2:21 pm

I'm not sure about your previous experience, but if you have any experience in CDO/CDS etc. then you're likely to get some question about how to price up tranches (possibly very generally) i.e. MC simulation, copulas, etc. Maybe explain the structural approach. If they are going to ask you any general market questions then a favourite for entry-level hires is the whole GM/Ford downgrades earlier this year and how it affected the correlation smile.M.

Money · November 26th, 2005, 7:40 am

Does anyone have attend this conference ? any slides to share ?http://www.finance-concepts.com/trainin ... orrelation Trading- Impact of credit indices on CDO market- Trading correlation- Managing a correlationi book

sam · November 26th, 2005, 5:30 pm

It is an excellent conference, although in some of the talks it is quite hard to keep up.

Money · November 27th, 2005, 11:40 am

Also does any people have research papers by SG - Quantitative Credit strategy1) April 2004: A hedging model for capital structure arbitrage2) Sep: 2003: Arbitrage between credits and equities - new strategies, more opportunties3) Feb: 2005: Relative value of EDS against credit and equity derivativesetc.

Money · December 9th, 2005, 2:00 pm

Does anyone has these slides ???4.00 Pricing and hedging single tranche CDOs Pricing: FTD pricing, breakeven jump spreads, loss distributions for portfolio pricing, trading correlation risk Hedging: first order hedging and second-order risks Advanced topics: correlation skew and correlation smile, term structure of correlation Option pricing and tranche pricing: convergenceOlivier Vigneron, Director, Integrated Credit Trading, DEUTSCHE BANKhttp://db.riskwaters.com/public/showPage.html?page=im_events_crs2004euro_prog2&tempId=162427