Yogesh Bacchewar
Mumbai
Summary
Detail-oriented Associate in Risk Methodology Quants with expertise in statistical applications for Risk Management and Trading strategies in fixed income derivatives. Skilled in Quantitative Finance, Trading strategies, Risk Models, and Python programming. Proficient in managing the complete modeling cycle, including development, documentation, validation, and implementation.
Overview
3
3
years of professional experience
1
1
Certification
Work History
ASSOCIATE, Risk Methodology Quants
Nomura Services
07.2018 - 11.2021
- Contributed to the development and enhancement of FRTB IMA, SIMM, and VaR models within the Risk Methodology Quants team.
- Developed codebase to reprice the Rates portfolio for multiple valuation function to full-revaluation Pnl from greek based approach and calculate non linear pnl in risk and Expected shortfall metrics.
- Enhanced methodology for FX nonlinear and FX skew smile adjustment pnl using 2D grid (spot and vol grid) in IMA VaR and LH-based expected shortfall metrics.
- Developed AUD yield curve forecasting model using Vasicek short rates and PCA, improving accuracy of RTPL in FRTB PLA (PnL attribution test).
- Developed and documented benchmarking methodologies for SIMM, identifying missing risks in the model.
- Created models for Basel 2.5 RNiVs (Risks not in VaR model) and analyzed major drivers for the addons, especially on rate correlation copula add-on.
ASSOCIATE
AXXELA RESEARCH AND ANALYTICS PVT LTD
07.2018 - 11.2021
- Traded Interest Rate Futures across global exchanges like CME, ICE, CBOT 30 day Fed Funds, 1month SOFR, 3-month SOFR, 2-year T-note and Euribor markets, UK markets, Eurodollar.
- Managed a fund of STIR Derivatives including SOFR, Eurodollar, Euribor, and short sterling, along with currency, equity indexes, and bonds.
- Developed expertise in complex hedging instruments including Butterfly, Condor, Double Condor, Packs, and Bundle.
- Created backtesting and automation framework using Python libraries (NumPy, pandas, scipy, Talib) to simulate equity and derivatives strategies (Iron Condor, Credit Spread, Orb Strategy) with historical time-series data from 2016-2020.
Education
BTECH - Electronics and Telecommunication Engineering
VEERMATA JIJABAI TECHNOLOGICAL INSTITUTE
Mumbai05-2018
HSC -
DAYANAND COLLEGE
LATUR03-2014
Skills
Programming
- Python
- SQL
- Gitlab
Risk pricing
- VaR
- ES
- FRTB
- SIMM
- Derivative Pricing
Quant Techniques
- Financial modeling
- Stochastic calculus
- Time series modeling
- Risk factor modeling
- Monte Carlo simulation
Trading
- Fixed Income Research
- Strategic Hedging
- Trade Execution
- Quantitative analysis
Certification
• Financial Modeling, University of Pennsylvania (Coursera)
• Modeling Risk and Realities, University of Pennsylvania (Coursera)
• Fundamentals of Quantitative modeling, University of Pennsylvania (Coursera)
• Modeling Risk and Realities, University of Pennsylvania (Coursera)
• Fundamentals of Quantitative modeling, University of Pennsylvania (Coursera)
Accomplishments
- Highest earning trader for the month of June '21 from Axxela, Mumbai for US product
- Trader of the month August '20 at Axxela, Mumbai
- JEE MAINS Maharashtra state rank 244 (2014)
- National Talent Search Examination (NTSE) Qualified (2008)
Timeline
ASSOCIATE, Risk Methodology Quants
Nomura Services
07.2018 - 11.2021
ASSOCIATE
AXXELA RESEARCH AND ANALYTICS PVT LTD
07.2018 - 11.2021
BTECH - Electronics and Telecommunication Engineering
VEERMATA JIJABAI TECHNOLOGICAL INSTITUTE
HSC -
DAYANAND COLLEGE