Sales & Trading interviews. Quantitative topic guide.

Its that time of the year again. You have made it through the initial selection rounds but you are worried about the quantitative interview. If you are one of the lucky few, you already have an offer but you are worried about appearing clueless on the trading desk.

The sales & trading interview guide is a quick refresher on quantitative topics. We cover nine core quantitative themes that need to be mastered in addition to your personal, background, fit and motivation interviews.

In terms of reading time the first eight items can take a full day to cover. The two video courses that follow would need four hours to complete, but may require a few more runs before you are comfortable with the materials.

  1. Understanding Greeks — (Options trading desks — also see volatility surfaces)
  2. Risk & Treasury Models — (Pricing & Valuation — based on 18 hour risk & pricing course)
  3. Risk & Treasury Case Studies — (Fuel Hedging, market risk, pricing swaps off zero curves, economic capital)
  4. Asset Liability Management — (Required for Insurance, Pensions, Banking, Capital Arbitrage interview focus)
  5. Monte Carlo Simulation — (Pricing & Models — Exotics, Trading, Pricing interview focus)
  6. Advance Risk Management Models — (Assorted exotic topics including portfolio optimization)
  7. Economic Capital — (Economic Capital estimation for banking — alternate approach)
  8. Understanding Black Scholes — (Free video, registration required — Understanding N(d1), N(d2) — 102 minutes)
  9. Risk Basics Crash Course — (Free video, registration required — Quant crash course — 117 minutes)

The list is not all inclusive but a good start.

Sales & Trading Interviews. Background reading.

In addition to the above topics, you should also catch up on background reading; posts that can be used to create questions that you can pose to the interview panel, fill in background material and context for positions and occasionally for informal conversation starters at lunch or dinner meetups.

1. A quick look at investment banking roles.

2. Before you accept that middle office offer

3. What is included in the credit risk management function?

4. A framework for estimating liquidity risk capital for a bank.

5. Risk jobs — treasury vs. market risk vs. credit risk.

6. A visual history of US yield curve shifts — 1978 — 2013.

7. Operational risk management — an quick introduction.

8. Frontier & Emerging markets Enterprise Risk Management.

9. High Frequency Trading, Flash boys & Mr. Lewis.

10. Why does bank regulation fail?

Best of luck for the interview.