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I would not renege. I'm assuming your goal is not to stay at either the large bank or Guggenheim long-term; if either opportunity gives you a good chance to get you to where you want to be, then keep your current offer (and congratulations on it). 

This is not the right economic environment to consider reneging unless the opportunity is truly differentiated. Many firms are cutting headcount, so don't make it easy for your employer to make that decision regarding your employment.

--Death, lighter than a feather; duty, heavier than a mountain
 

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