Collateral Valuation and Risk Analyst – Markets recruitment
Collateral Valuation and Analysis (CVA) area is part of the Federal Reserve Bank of New York's Markets Group which implements monetary policy on behalf of the Federal Reserve System (FRS) and acts as fiscal agent for the U.S. Treasury. The CVA area is responsible for providing valuation and risk analysis for the Federal Reserve System's collateralized lending operations, including open market operations and the discount window lending facility.
Responsibilities
The CVA team is seeking a candidate to support the analysis of FRS collateral valuation and risks. The ideal candidate understands monetary policy, econometrics, and asset valuation, and can produce concise written analysis for senior Federal Reserve policymakers. Strong interpersonal skills and an ability to manage projects and communicate with others are important qualifications.
The candidate will be responsible for:
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Analyzing market, credit, and liquidity risks associated with collateral assets and providing this analysis to FRS stakeholders, including the FOMC and FRS workgroups
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Providing knowledge of industry practices for the valuation of loans and securities
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Working with FRBNY staff and other Reserve Bank staffs on collateral valuation and risk analysis projects
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Contributing to the development, refinement, maintenance and execution of asset valuation and haircut models used by FRS
Skills
Requirements
- Graduate degree in Business, Finance, Computational Finance, Economics, or equivalent work experience
- Expertise in loans and across structured finance asset classes such as RMBS, CMBS, ABS, and other Fixed Income asset classes
- Demonstrated experience in the use of valuation and risk models for loans, structured credit, and corporate credit
- Demonstrated knowledge of asset valuation and market/credit risk management experience within the financial services industry (Value-at-Risk, etc.)
- Knowledge of statistical tools including Matlab and others tools (e.g. SAS, Stata, etc.)
- Ability to work collaboratively as a part of a team as well as work independently
- Strong written and oral communication skills, including the ability to explain complex issues and make clear recommendations to senior Federal Reserve audiences
This position requires access to classified FOMC information. In some cases, the position requires access to confidential supervisory information, which is limited to 'Protected Individuals' as defined in the U.S. federal immigration law. Protected Individuals include, but are not limited to, U.S. citizens, U.S. nationals, U.S. permanent residents who are not yet eligible to apply for naturalization, and U.S. permanent residents who have applied for naturalization within six months of being eligible to do so.