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IAmEric
Phorgy Phynance
Banned
Total Posts: 2961
Joined: Oct 2004
 
Posted: 2005-05-13 17:05
Hello NP,

I am going against my better instincts here. Under the influence of a superstitious wife, I try not to think (and especially talk) about it too much, but you all have been so unbelievably helpful to me in the past, I think my best move at this time is to get this out in the open and see what you have to say.

I have an incredible uphill battle ahead of me. By some miracle that is beyond my comprehension, I am in the third and final round of a dream job doing fixed income research (buyside) in a dream location in a dream company with a dream team of coworkers. I am up against two other candidates who have much more experience that is directly applicable to the position. By the admission of my contact person, i.e. the first interviewer who liked me a lot and has actually been coaching me, even he is shocked (but pleased) that I made it this far.

In ten days, the three of us are going to be assembled in a battle to the death. There can be only one.

None of the six people I am meeting are mathematicians. They are extremely bright economists and portfolio managers. They are going to grill me on my views of the market (among many other things).

This place is big on value investing. Long term investing. Mutual funds. Things like that. It seems to be pretty slow paced and calculating, e.g. I never saw such a relaxed trading floor in my life (and this was the day after GM/F were downgraded). Initially, the successful candidate would be doing MBS, but would eventually be doing much more.

They are extremely selective in their candidates because their big claim is to have extremely low employee turnover. The way it was explained to me is, "People don't leave. Most of the people who join this company stay for the rest of their careers and retire from here." I know to some, that may not sound too exciting, but it sounds like a dream to me.

Reality: there are two better qualified candidates I am competing against. My chances are extremely slim. I know that. Nonetheless, I am in the game and intend to fight until the end.

Between now and May 23, what is the best way for me to demonstrate my eagerness and willingness to learn about the fixed-income markets? What are the most common resources that someone in this field might refer to on a daily basis? I can't compete on knowledge or experience, my only chance is to demonstrate my ability to learn quickly and most importantly to them... that I "fit in".

Any words of wisdom would be greatly appreciated.

Sincerely,
Eric

braincat


Total Posts: 343
Joined: Oct 2004
 
Posted: 2005-05-13 17:57
Eric,
best of luck with this endeavor!

>>People don't leave. Most of the people who join this company stay for the rest of their careers <<

Not to discourage you... but I've heard this on most of my
interviews :-)

IAmEric
Phorgy Phynance
Banned
Total Posts: 2961
Joined: Oct 2004
 
Posted: 2005-05-13 18:08
Thanks braincat!

IAmEric
Phorgy Phynance
Banned
Total Posts: 2961
Joined: Oct 2004
 
Posted: 2005-05-13 18:34
I should probably say what I have done so far to prepare rather than asking such an open-ended question...

It was suggested to me to take a look at Graham and Dodd's 1934 Edition of "Security Analysis." I got a copy. It's great and I've read the suggested chapters. It was also suggested that I get a copy of Keynes, "General Theory of Employment, Interest, and Money." Got it. Also a classic. For even more light reading, it was suggested to read the books listed here in addition to some other classics, e.g. "When Genius Failed" and "Liar's Poker" (both of which I've already read). I'm about halfway through Alchemy now. For some slightly more technical stuff, it was suggested to read Garbades, "Fixed-Income Analytics".

That is what I have done so far. Now, I'm trying to get up to date with what is going on in the markets now. I subscribed to the WSJ (print edition) and that thing is keeping me pretty occupied. I'm still pretty clueless. Reading discussions on NP is definitely helpful (the GM thing ruled). What else can I do?

Thanks,
Eric

tabris


Total Posts: 1255
Joined: Feb 2005
 
Posted: 2005-05-13 21:20
I am crossing my fingers for you.

I think the best place to learn about the markets now is to read research reports from the street. Every bank has their "daily" economic talk, and if you want to focus more on MBS markets now, there is the MBS research section. I am not sure if you get this access from your current position however. But if you need, I am sure myself and others would be helpful in getting some articles for you.

Dilbert: Why does it seem as though I am the only honest guy on earth? Dogbert: Your type tends not to reproduce.

adas


Total Posts: 185
Joined: Sep 2004
 
Posted: 2005-05-14 03:00

Eric,

I also wish you the best of luck.  There are far more learned people than me on this board so let me be the first to point out a number of glaringly obvious sites:

www.thestreet.com

www.reuters.com/finance.jhtml

www.bloomberg.com

I'll let someone else point out the demerits of these sites - I tend to find them useful as a daily recap of US markets.


I don't think, therefore I ham.

Anthis
It's all Greek to me

Total Posts: 1180
Joined: Jul 2004
 
Posted: 2005-05-14 03:31

Eric,

First you have plenty of time to prepare i guess. Second, from what you say i think the role is a more general fixed income role with a focus on MBS.
IMHO I dont think that reading some books as old as my grandma can be very helpful.
A good first step would be to start with Hull and PWOQF which i guess there are on your self already. Read everything related to IR and possibly FX. I guess it covers the basics plus the FI derivatives field.
Since it is a fund, i think it is wise to have some exposure on ALM issues.
Regarding FI portfolio management i had uploaded some papers here once upon a time. Go get them and have a look.
For something more advanced on FI I think Hendersson's book is very useful.
Regarding credit risk start at the basics with creditmetrics technical document. and papers on defaultrisk.com. Basel II may be of some interest too.
On MBS, i have uploaded some papers on this topic too recently, the key issue is the prepayment/reinvestment risk for fixed rate mortgages and its effect on duration and convexity and the credit quality of the issue. Some other fine details are unlikely to attract any questions since you have no prior experience.
Questions on CDOs and CDs are rather unlikely.
Eventually since you will be interviewed by economists it would be a good idea to surprise them pleasantly with some introductory even knowledge in macroeconomics and econometrics. There are a lot of standard textbooks on these topics.
I think with all the above you ll go to the interview prepared "all around" ready to amaze. I can guess phorums experts on this field, like James and Kr, more or less agree with the above.
Good Luck. Smiley


 


 


Αίεν Υψικράτειν/Τύχη μη πίστευε/Άνδρα Αρχή Δείκνυσι/Νόησις Αρχή Επιστήμης //Σε ενα κλουβί γραφείο σαν αγρίμι παίζω ατέλειωτο βουβό ταξίμι

James
NP High Priest

Total Posts: 2024
Joined: May 2004
 
Posted: 2005-05-14 10:53
"fixed income research"

this is too huge of a topic. will this be cash bonds? (that is what it sounds like they are stearing you towards). will it be investment or speculative grade?

Prior to the publication of the Black-Scholes model in 1973, the quest for a valuation formula that would describe option prices reflected one of the most elusive goals in financial economics. Though much work was done in the 1960s, many of the insights and techniques used to solve the problem were presented or anticipated at the beginning of the twentieth century by Louis Bachelier, an obscure French mathematician. These innovations include the first graphical representation of option pricing, a mathematical description of stock prices utilizing Brownian motion and anticipating the efficient market hypothesis, and the first formal option pricing formula.

IAmEric
Phorgy Phynance
Banned
Total Posts: 2961
Joined: Oct 2004
 
Posted: 2005-05-14 17:15
Hi James,

This company was founded in the 1930's. They told me to read these classic texts on value investing from the 1930's because that is how they really operate (and they are proud of it!) Smiley At least in principle. The emphasis is strongly on fundamentals research. From what I understand, it wouldn't be unheard of for them to personally interview managers and employees, etc.

I think it is mostly investment grade, but they do have some high yield stuff. My feeling is that they are true "investors" as opposed to "speculators" in the sense of Graham/Dodd. In fact, the concept of a "quant" is fairly new to them so I definitely won't expect to be quized on any advanced FI mathematics (elementary FI mathematics is fair game). What I could likely be quized on is how economic factors influence FI. For example, I would love to be able to discuss the impact of inflation, oil prices, (Asian) currencies, real estate, credit/debt, etc. on bond prices and MBS. At the moment, I am at the level of sophistication where I'm like, "Uh,... what is duration?" So I've got a long way to go before I can see the big picture. I think I am ok with the definitions of duration and yield so now it is a matter of seeing how these fit into portfolio management. For example, I was just reading how reinvestment and market risk fit in with duration and an investor's investment horizon. I need more of this kind of stuff.

Sorry for such a vague question on such a huge topic. I hope this helps narrow it down a little bit. I basically want to be able to discuss good old-fashioned FI/MBS with some good old-fashioned economists and portfolio managers without sounding too stupid.

Anthis,

Thanks! I like what you said a lot. In particular,

Eventually since you will be interviewed by economists it would be a good idea to surprise them pleasantly with some introductory even knowledge in macroeconomics and econometrics. There are a lot of standard textbooks on these topics.


Could you recommend one or two classics? I'm clueless.

adas,

Thank you as well. I have now bookmarked those Smiley

PS: James, I am sending you an email.

FreeBoundary


Total Posts: 89
Joined: Feb 2005
 
Posted: 2005-05-14 18:17

Hi Eric,

Congrats on your new opportunities. Unfortunately it sounds like I can't be of much help with my humble knowledge in quantitative FI trading side.

I will dig into my files to find out an article "What makes the yield curve moves?" or something like that. I goggled it and just found another simpler article at

http://www.google.com/search?hl=en&q=what+affects+yield+curve+change

If you want to discuss about some of the quantitative aspect of more liquid trading please shoot me an email and we can chat on the phone or we can meet somewhere in Newport Smiley I have also couple of books on asset allocation you can borrow if you want. Related to this issue, someone I know  knows Cambell at Harvard  pretty well who runs a strategy fund with various asset allocation strategies but  what they do at the end of the day is just simple mean-variance minimization. So probably some of portfolio optimization theory and CAPM theory? (for CAPm and BS theory, check out ([PDF] Understanding Fischer BlackFile Format: www.econ.barnard.columbia.edu/faculty/ mehrling/understanding_fischer_black.pdf -  )

I have a book by Stanford prof. Luenberger’s Investment science which is a minimally quantitative and discuss about basic FI concepts including topics above. I can lend it to you if you want.

 

Oh BTW, I might be going to your current company Smiley I have been also job market and built up pretty good experience with job hunting mostly in FI front desk business and currently working some of best opportunities I have been dreaming of. So in return of your most valuables advices you gave to me before, if you want to considering coming to FI front office quantitative trading side, I can be of some help both with market contacts and interview preparation. My two cents tip is if you know exactly what you want to do finding such a job is just a matter of time. Don't worry and be confident. I am sure you will make it through Smiley

Oh I remembered one thing, please pardon my lacking of detailed knowege but I remember a good MBS trader at my previous job always talked about convexity. "Buying/Selling a MBS is like buying or selling of convexity and supply and demand for hedging convexity of MBS is an main driver and blah blah... I hope some of NP experts can explain Smiley

 

 


 


Grigori Perelman is my hero

Anthis
It's all Greek to me

Total Posts: 1180
Joined: Jul 2004
 
Posted: 2005-05-14 18:27

Eric,

Unfortunatelly most macro and econometrics books on my self are in Greek. I have read this book and since its classic and too "american", i can recommend it as an easy read for you:

http://www.amazon.com/exec/obidos/tg/detail/-/0072823402/qid=1116086406/sr=1-1/ref=sr_1_1/103-5818197-4099833?v=glance&s=books

Regarding econometrics Greene's, Ender's and Hamilton's books, are all time classics. I havent read this http://www.amazon.com/exec/obidos/ASIN/052179367X/ref=sib_rdr_dp/103-5818197-4099833
but its looks very interesting albeit i still believe that the bible for financial econometrics is this:
http://www.amazon.com/exec/obidos/tg/detail/-/0691043019/qid=1116086561/sr=8-17/ref=sr_8_xs_ap_i2_xgl14/103-5818197-4099833?v=glance&s=books&n=507846

Also here are some papers i had uploaded before, so you dont have to search back the phorum.

Attached File: FixedIncome1.zip
Attached File: FixedIncome2.zip
Attached File: FixedIncome3.zip
Attached File: Dynamic Allocation of Treasury and Corporate Bond Portfolios-2002.zip
Attached File: For Filthy.zip
Attached File: For Filthy 2.zip

Eventually this is Henderson's book i recommended in my previous post:
http://www.amazon.com/exec/obidos/tg/detail/-/0470850639/qid=1116087967/sr=8-4/ref=sr_8_xs_ap_i4_xgl14/103-5818197-4099833?v=glance&s=books&n=507846

HTH


Αίεν Υψικράτειν/Τύχη μη πίστευε/Άνδρα Αρχή Δείκνυσι/Νόησις Αρχή Επιστήμης //Σε ενα κλουβί γραφείο σαν αγρίμι παίζω ατέλειωτο βουβό ταξίμι

YukaRedux
Now with added evil

Total Posts: 650
Joined: Dec 2004
 
Posted: 2005-05-15 02:50

some primer stuff on FI from Sallys:

Attached File: SalomonBrothersFixedIncome1.pdf

Attached File: SalomonBrothersFixedIncome2.zip.zip

Attached File: SalomonBrothersFixedIncome3.zip.zip

Attached File: SalomonBrothersFixedIncome4.zip.zip

Attached File: SalomonBrothersFixedIncome5.zip.zip

Attached File: SalomonBrothersFixedIncome6.zip.zip

 


I know this... because Tyler Durden knows this.

Happyas
Certified Headhunter

Total Posts: 410
Joined: Dec 2004
 
Posted: 2005-05-17 15:51

IMHO what you are trying to do is worthy, and clearly having knowledge is better than not, but will not get you the job prima facie.

Why?  You have stated as much yourself, the other guys are more relevant experiencewise.  What you are talking about here is distilling a couple of years practical experience into a week ie playing these other guys at their game that they are already scarred pros witihin.

What you need to do is ask why you are still in the process and then ask how you make that become the defining feature of the hire ie how do you differentiate yourself.  To my mind the key thing here is getting the low down from this internal sponsor.  Is it the kind of place that hires on potential ie. the background of these guys is less relevant.  Is this hire one they are looking to use to introduce some more mathematical techniques into their analysis.  are they looking to get involved in new markets/products which require the math edge.  You've already said they are into MBS.  My, admittedly vague, understanding is MBS modelling is an area they could do with a good math guy, are they planning on getting into the CDO world.....

When you have squeezed this juice from this guy you will far better be able to use your limitied time - maybe in fact knowing MBS modelling technically is the key for this hire.  Maybe they are looking for a custodian of the firms values, in which case it will be down to who is the best corporate fit.  Maybe it is just that they have you in the process because you are outperforming and thus if they hire you its because you charm them as the young turk with massive potential - so play to that....

Remember this process is not absolute, its comparative.  Doesn't matter if you have a bad day, you just need to have the least bad day of the three of you on the criteria they set.

In order to win the game, you need to know the rules - I'd go ask!!

 

 

 

 


ho hum

Nonius
Founding Member
Nonius Unbound
Total Posts: 12736
Joined: Mar 2004
 
Posted: 2005-05-17 15:54

Hello NP,

I am going against my better instincts here. Under the influence of a superstitious wife, I try not to think (and especially talk) about it too much, but you all have been so unbelievably helpful to me in the past, I think my best move at this time is to get this out in the open and see what you have to say.

I have an incredible uphill battle ahead of me. By some miracle that is beyond my comprehension, I am in the third and final round of a dream job doing fixed income research (buyside) in a dream location in a dream company with a dream team of coworkers. I am up against two other candidates who have much more experience that is directly applicable to the position. By the admission of my contact person, i.e. the first interviewer who liked me a lot and has actually been coaching me, even he is shocked (but pleased) that I made it this far.

In ten days, the three of us are going to be assembled in a battle to the death. There can be only one.

None of the six people I am meeting are mathematicians. They are extremely bright economists and portfolio managers. They are going to grill me on my views of the market (among many other things).

This place is big on value investing. Long term investing. Mutual funds. Things like that. It seems to be pretty slow paced and calculating, e.g. I never saw such a relaxed trading floor in my life (and this was the day after GM/F were downgraded). Initially, the successful candidate would be doing MBS, but would eventually be doing much more.

They are extremely selective in their candidates because their big claim is to have extremely low employee turnover. The way it was explained to me is, "People don't leave. Most of the people who join this company stay for the rest of their careers and retire from here." I know to some, that may not sound too exciting, but it sounds like a dream to me.

Reality: there are two better qualified candidates I am competing against. My chances are extremely slim. I know that. Nonetheless, I am in the game and intend to fight until the end.

Between now and May 23, what is the best way for me to demonstrate my eagerness and willingness to learn about the fixed-income markets? What are the most common resources that someone in this field might refer to on a daily basis? I can't compete on knowledge or experience, my only chance is to demonstrate my ability to learn quickly and most importantly to them... that I "fit in".

Any words of wisdom would be greatly appreciated.

Sincerely,
Eric

 

my honest opinion is...I'd rather eat glass than work at a regulated buy side phund.  Phuck that sheah.....if buy side fixed income, then, why not fixed income arb/rel value hedge fund?


Chiral is Tyler Durden

IAmEric
Phorgy Phynance
Banned
Total Posts: 2961
Joined: Oct 2004
 
Posted: 2005-05-17 16:04
Worship

You're awesome. Thank you for all the references (both here and in private emails). Happyas, that advice is golden.

Edit: Just saw Nonius' input. You might be right, but hedge funds aren't exactly knocking down my door (especially not in the location I am looking... think surf dude). Plus, the little princess Phorgy has changed my priorities (work/life balance, etc.)

Nonius
Founding Member
Nonius Unbound
Total Posts: 12736
Joined: Mar 2004
 
Posted: 2005-05-17 16:06
there's plenty of hedge funds in Cali.......totally next to the surf and sheah...

Chiral is Tyler Durden

chiral3
Founding Member

Total Posts: 5059
Joined: Mar 2004
 
Posted: 2005-05-17 16:13

I don't mean to be a dick IAE, but didn't you just get your dream job 6 months ago at your current place?  One thing that looks bad, and it has been a factor when I interview people with quant backgrounds, is having 2-3 jobs in their fist 2-3 years on the street.  Now, sometimes you gotta go.  Sometimes it is so horrid and abusive that you need to leave.  Often, though, I identify it with people (always quants coming from academia) who are never quite happy and, in the cases where myself or my colleagues have hired, it turns out my gut is right and we inherited a problem. (Last problem that we had to get rid of for exactly this is now looking again - to leave the job they got after us. This is 3 jobs in just under 3 years, and the phone rang here when they put the feelers out. My response? Same as everyone elses that had to deal with him, "Get rid of the fucker")

In your case, it seems that the reality took the luster away and made something you don't have now look real sparkley and appealing.  Buyside for quants within their first 2 years is usually because they are whipping boys at a sellside shop and they hear of the great hours, low stress, and relaxed managers, the latter of which is more interested on their golf than their work (maybe they are the same).

So, my question to you is: "How do you know that this is your dream job?"


Nonius is Satoshi Nakamoto. 物の哀れ

Energetic
Forum Captain

Total Posts: 1476
Joined: Jun 2004
 
Posted: 2005-05-17 16:17
I believe I mentioned to you, Eric, that my first Wall Street job was in Fixed Income Research. Not to discourage you, but it was by far the worst thing that ever happened to me. Your milage could vary, of course.

Suppose you managed to break through the wall. What do you intend to do in the next cell?

IAmEric
Phorgy Phynance
Banned
Total Posts: 2961
Joined: Oct 2004
 
Posted: 2005-05-17 16:47
chiral3,

Dude, you are not being a d#@$ by telling it to me straight. I always value whatever you have to say.

For all the complaints I had earlier, things are peachy now at work. The one person I had troubles with early on resigned yesterday. Everyone else has been super, especially my manager. If I were to stay in NY, I would be glad to stay where I am now (at least for an acceptible resume-building period). In fact, I might very well stay here anyway (no guarantees for anything in Cali). Since the chances are so slim there, I'm already planning to stay. In fact, I submitted an application to Langone over the weekend.

The pull to leave NY is domestic, not professional. My wife absolutely hates it here. In fact, she already left to stay with family for the duration of her pregnancy and doesn't want to come back to NY. I grew up in Cali. I'm basically returning home for good.

I'm not the type to jump ship at the first sign of rough times. From day one at MIT/LL, I knew I wanted to get into finance. I stayed for 2 years because I needed that on my resume. In fact, I was going to stay another year before being rudely laid off.

The chronology for the basis of my thinking it is a dream job goes like this:

- Recruiter tells me about a job, but says I have no chance because they want somebody more experienced. Mentions "performance attribution" and I spew about my very first finance paper on the subject. She gives it a try.

- Senior quant has heard of me. Wants to see me.

- Recruiter tells me the senior quant has heard of me. I do research into his background. Find that I really like his papers and his textbook. Decide to meet him regardless. Whatever happens, I'll get to talk to a cool guy and might learn something. Make an excuse as to why I will be in California to avoid a phone interview. Make a schedule to meet at his office in LA.

- Meeting goes great. Not disappointed I put out my own cash for the trip. Started out just excited about the opportunity to work with the senior quant. By the end of the meeting, I was excited about the company. Make it to the second round where I will speak with 6 people.

- I like everyone I meet a lot. All six meetings go great. Even more excited about the company (plus promises of good work/life balance).

- Return to NY. Meet with local HR person here. Again, she is great. Even more excited about the opportunity.

This takes me to the present. I am going to meeting 8-10 people next week. By giving myself this intense crash course, I am not expecting to be able to compete on knowledge or experience. I am competing on desire and willingness to put in the effort. That is what got me through the second round.

Thanks for your words dude Beer

Eric

chiral3
Founding Member

Total Posts: 5059
Joined: Mar 2004
 
Posted: 2005-05-17 16:53
Fair enough.  My only advice is to choose your next gig very carefully so you can get some mileage out of it.  A good 2 year stint now will help you in the following 3-5 years, but not much after that.  However, you can get very large pay increases in your 3rd,4th,5th,6th years, so it is beneficial from a near-term strategy perspective. 

Nonius is Satoshi Nakamoto. 物の哀れ

braincat


Total Posts: 343
Joined: Oct 2004
 
Posted: 2005-05-17 17:01
>>> I believe I mentioned to you, Eric, that my first Wall Street job was in Fixed Income Research. Not to discourage you, but it was by far the worst thing that ever happened to me<<<

E., why?

Energetic
Forum Captain

Total Posts: 1476
Joined: Jun 2004
 
Posted: 2005-05-17 17:11

Why? Because I didn't like the hours, I hated the micromanagement, the cover-your-ass culture and a few other things. I was a square peg in a round hole, that's for sure. More details over the beer, OK?


Suppose you managed to break through the wall. What do you intend to do in the next cell?

IAmEric
Phorgy Phynance
Banned
Total Posts: 2961
Joined: Oct 2004
 
Posted: 2005-05-17 17:51
Did somebody say beer? Chug Beer

tabris


Total Posts: 1255
Joined: Feb 2005
 
Posted: 2005-05-17 22:09
Ok, since the girl you hate is resigning, I take back my word in saying that you should consider leaving.  If the west coast does not work out, you should stay and make the most out of it.  What I would do just to piss her off is start moving boxes of your stuff into her cube and bring a measuring tape.  Start measuring her cube out and pretend you are moving into her cube.  I am just kidding by the way.  But if you do proceed, I think she would be so pissed... bring a camera.  I want to see her reaction.

Dilbert: Why does it seem as though I am the only honest guy on earth? Dogbert: Your type tends not to reproduce.

FreeBoundary


Total Posts: 89
Joined: Feb 2005
 
Posted: 2005-05-18 02:37

Beer sounds good, I can make it next week.

BTW, Eric, I know you are busy but can you PM me your phone number? I need to ask you couple of questions quickly. Thanks

Yonghoi


Grigori Perelman is my hero
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