Joe J.

Harwood
Profile

joe.harwood@univ.oxon.org

Oers strong analytical, problem-solving, computational, technical and communication skills, accompanied by the ambition and dedication to successfully apply them in a high pressure environment. University of Oxford, University College October 2006 - July 2010 MPhys Physics (Hons) First Class. Theoretical & Particle Physics major options. 1st class results in BA and MPhys Finals and a Distinction (top 5%) in preliminary examinations. 1st class masters thesis identifying the particle signal within the enormous amount of data produced by the LHCb experiment at CERN in order to measure its characteristics. University College and Ogden Trust Scholarships, Institute of Physics Bursary holder. Vice Captain of College Boat-Club, blade winning 1st VIII rower and coach to 3 novice boats. Member of the University Science Society, Investment & Finance Society and Boyle Society. Norwich School, Norwich, UK September 2004 - July 2006 4 A-Levels & 1 AS at A (Mathematics, Further Mathematics, Physics, Geography, History AS). Two Advanced Extension Awards with Distinction (Physics and Geography). Ogden Trust Sixth form Science Scholarship and awarded the Field Prize for Physics. Aylsham High School, Aylsham, Norfolk, UK 13 GCSEs, 8 at A* (including one short course) and 5 at A. September 1999 - June 2004

Education

Experience BNP Paribas Analyst, Fixed Income Trading Graduate Program, Fixed Income Trading September 2011 - Present September 2010 - September 2011

Joint top ranked graduate at the end of the program; oered a quantitative position in a small team responsible for assisting Trading Management with running the Fixed Income Portfolio. Gained a broad knowledge of products, strategies and risks in Fixed Income, especially Credit. Researched and developed a prototype -weighted risk measure to improve the prediction of the overall market directionality of the portfolio. Developed an algorithmic, risk factor based approach to identify the riskiest names in a universe of 1000s. Subsequently presented these ndings in an intuitively accessible, visual fashion. Designed Credit Market data reports for Senior Management including novel statistics and graphics to highlight risk-on/risk-o trends, cross sector and cross product variations. Investigated the dynamics of the BNP Incremental Risk Charge (IRC) through a toy model to assist in sub-allocation of the charge, incorporation in pricing and portfolio optimisation. Produced various tools for daily and historic portfolio performance analysis. Dened reports to identify signicant risk positions especially aimed at nding strategies (e.g. basis, curve and compression trades) in which the outright risk may be small but a signicant market exposure remains within a vast portfolio of osetting positions. Involvement with the CVA desk to explore more optimal CVA hedging techniques. Summer Intern, Fixed Income Quantitative Research Summer 2009 Used structural change algorithms to automatically detect when the parameters of the proprietary yield curve tting techniques need re-calibration. Investigated empirical duration hedging strategies for corporate bonds. Summer Intern, Fixed Income Trading Summer 2008 Researched new dynamics in the CDS-Bond basis following the Credit Crisis. Produced tools to back-test macro hedge strategies for the implicit CDS-bond basis position of the Credit Portfolio including an Excel GUI with R back-end. Computing R Daily use (100s of lines per week) for a variety of tasks including exploratory statistical analysis, industrial parallel daily batches, user friendly GUIs and interactive visualisations, production quality graphics and large scale portfolio optimisations (e.g. in respect to the IRC). C++ Extensive use as a scientic analysis tool during my masters project (1000s lines) within the Root system coupled with python to connect to the LHC grid computing system. C University lecture and practical courses including Monte Carlo simulation. Python Regular use for various utility tasks. VBA Frequent use for aggregation, data display, graphics and process automation within Excel. XML Daily use for complex queries to the BNPP risk warehouse database system. Javascript / HTML Used for several interactive visualisations facilitating rapid trend spotting. A Others Excel, Markit Dashboard, Bloomberg, Linux, L TEX.