Rohan Joshi

Experience

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  Morgan Stanley

  Jun 2008 - Jun 2010

  Associate

  PREPAYMENT MODELING: - Part of the global team that worked round the clock to analyze the Freddie Mac and Fannie Mae portfolios during October 2008 ~Implemented a subprime credit default model- Co-authored intra-firm paper on House Price Index (HPI) model in diffusion framework ~Tested the analysis of effect of introducing correlation of HPI with interest ratesMODEL INFRASTRUCTURE- Efficiently implemented dependency tracking mechanism in statistical regressions- Developed a Calibration infrastructure for prepayment modeling of agency mortgage securities ~ Flexibility in trying out different stochastic diffusion models for various model parameters- Developed a Monte-Carlo simulation engine and framework for stochastic diffusion models Show less

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  Barclays Capital

  Jun 2012 - Jun 2013

  Associate, Agency MBS Strategy

  - Contributor to prepayment commentary which gives insights to agency mortgage-backed securities (MBS) investors about recent trends in prepayments and provides actionable recommendations- Contributor to Barclays weekly publication on agency MBS, consisting of trade recommendations based on price movements, regulatory and other events in the marketplace- Respond to clients on custom analysis requests as a follow-up of research and analytics reports

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  PNC

  Jun 2013 - Oct 2014

  Senior Associate - ALM division
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  WorldQuant

  Dec 2014 - now

  • Senior Regional Research Director

    Jan 2023 - now

  • Regional Research Director

    Jan 2020 - Dec 2022

  • Vice President Research

    Jul 2017 - Jan 2020

  • Senior Quantitative Researcher

    Jan 2016 - Jul 2017

  • Quantitative Researcher

    Dec 2014 - Jan 2016
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  WorldQuant

  -

  Senior Regional Research Director