Engineer Python

JOSHI, Harshit (Harsh)

Nationality: Indian

Mobile: (+65) 84507267

Email: ********@*.***.***.**

LinkedIn: https://www.linkedin.com/in/harshit-joshi-1a7936146 Languages: English (Business), Hindi (Native)

SUMMARY

With 4 years of experience in Capital Market research and trading, Harshit is well-versed in analyzing global macro- economic conditions and formulating trading strategies for interest rate futures based on fundamental, technical and quantitative analysis using Python and VBA. His competitive edge lies in his natural drive for finding patterns in numbers and passion for Data Science and Machine Learning. He thrives under stressful conditions and seeks to work in a challenging environment with a steep learning curve. PROFESSIONAL EXPERIENCE

Systematic Investment Group, GIC, Singapore

Quantitative Research Intern

2020/7 – Present

• Solely responsible for expanding IRS Universe to Emerging Markets Currencies.

• Focusing on Calibration and Validation of Swap Curves for efficient pricing of Non Deliverable Interest Rate Swap contracts.

• Constructing Yield based signals for medium frequency trading. Numerix, Singapore

Financial Engineer Intern

2019/11 – 2020/4

• Structure vanilla and exotic trades across IR, EQ and FX and perform valuation and/or risk analytics tasks using Numerix CrossAsset library

• Validating Discount curves for FX swaps and assisting product managers on XVA Valuations

• Curve bootstrapping methodology, OIS and LIBOR discounting. Scenario generation and analysis on vanilla portfolio for counterparty risk.

• Writing test cases for model validation of Equity and FX Linked Structured Notes for a major Asian Bank.

• Design and perform FE testing on models (calibration and pricing) across multiple asset classes on various Numerix Products.

Barclays Investment Bank, India

Senior Analyst, Fixed Income Financing

2018/12 – 2019/05

• Supported Repo traders by leading Emerging Market (EMEA, Asia) product area through daily execution tasks like short cover via internal lifts and external lenders, auto borrows, excess returns, refinancing trades and funding for firm inventory.

• Built new and maintained existing matrix pricing models utilizing haircuts, yields and Bond ratings Data from Bloomberg for pricing IG/HY bonds for daily funding requirements of the group.

• Developed and implemented models to generate Asian hedge fund clients P&L attribution reports using platforms such as VBA, SQL and Bloomberg. Successfully commercialized across Mumbai Credit Financing desk. Futures First Info Services Pvt ltd, India

Market Analyst

2014/07 – 2018/05

• Prepared research report determining effects of Italian election on European Fixed Income instruments by evaluating levels of German-Italian 10-year yield spread difference under various scenarios to determine possible risk-off pricing in 3-month Euribor futures. Acquired 40% of the quarter’s revenue by implementing strategies based on research.

• Prepared research report on effect of Brexit on UK economy and financial markets by performing a scenario analysis, evaluating economic surprises in GDP and inflation data and effect on GBP futures and 3-month Short Sterling futures. Successfully hedged up to 50% of portfolio by calculating the possible levels of GBP futures and its correlation with the Short Sterling.

• Managed a diversified portfolio of 8 products of short-term interest rates, currency futures and sovereign bond futures via individual trading account with a Var of $50000 and a confidence level of 95%

• Reduced latency in order submission and execution by 30% and saved 10% of the transaction costs of the branch by automating resting market order and data response algorithms in collaboration with desktop development teams.

• Selected among 10 traders to participate in a global workshop on Market Research held in Kolkata. SKILLS/ QUALIFICATIONS/ PROJECTS

• CFA all 3 levels cleared.

• World Quant University Machine learning and Statistical Analysis, Completion with honors

• Introduction to TensorFlow for A.I, M.L and Deep Learning by deeplearning.ai on Coursera

• World Quant University Scientific Computing and Python for Data Science, Successful completion with honors

• Proficient in Excel/VBA, MySQL, Python (experience with libraries such as Numpy, Pandas, Matplotlib, Sklearn), C++, R, Reuters, Bloomberg. 2017/12 – 2019/08

2019/07 – 2019/09

2019/08 – 2019/09

2019/01 –2019/03

EDUCATION

MSc Financial Engineering with Certificate in Computational Finance Nanyang Business School, Nanyang Technological University, Singapore In collaboration with Tepper Business School, Carnegie Mellon University, USA Bachelor of Technology, Mechanical Engineering, NIT Surathkal, India 2019/07 – 2020/06

2010/09 – 2014/06

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