Collateral Valuation Quantitative Policy/Analysis Sr. Associate – Markets recruitment
Area Overview:
The Federal Reserve Bank of New York is currently seeking a senior fixed income quantitative analyst for its Collateral Valuation and Analysis (CVA) staff. The CVA staff is responsible for valuing and creating haircuts for the diverse pool of collateral that supports Discount Window and Payments System Risk lending facilities, the System Open Market Account portfolio, and temporary liquidity facilities put in place for financial stability purposes. The senior analyst is expected to provide thought leadership on valuation and margining issues and to participate in important policy discussions about collateral practices for the Federal Reserve's lending facilities.
The senior analyst is expected to provide thought leadership on valuation and haircut methodologies, and to help develop and implement institutional-quality models. The ideal candidate has a PhD in finance or economics and a deep knowledge of fixed income valuation practices, including an ability to compare methodologies that price instruments with embedded options. Experience managing multi-stage projects to develop robust and documented model code, and the the ability to clearly present modeling concepts to senior stakeholders within the Federal Reserve System are desired. Knowledge of Matlab, SAS and/or Stata are strongly preferred. Candidates should have the ability to manage multiple demands and to maintain working relationships with a broad group of stakeholders.
Responsibilities:
- Conceptualize models that value and haircut for fixed income instruments in accordance with the needs of relevant stakeholders. Coordinate with Federal Reserve colleagues to reach consensus on the appropriate financial theory and application;
- Lead efforts to think critically about the Federal Reserve System's models and suggest improvements to align practice with objectives and to augment the model controlenvironment. Work with model validators to affirm conceptual and technical model design;
- Conduct analytically rigorous empirical studies on time series and panel data to inform work on theoretical models and highlight the impact of modeling decisions. Lead junior staff in analytic work.
- Communicate with senior level Federal Reserve management about collateral matters and modeling choices in a manner that highlights important business considerations and modeling tradeoffs;
- Lead projects to develop and implement improvements in valuation models, including the creation of requirements, code design documents and test scripts. Code model changes as necessary;
- Maintain meticulous documentation of model theory and code in a manner that meets validation and audit requirements;
- Remain current on relevant valuation and finance literature and developments pertaining to collateral valuation and financial engineering, and proactively identify opportunities to leverage those developments in the System's practices.
Skills
Requirements:
- PhD or advanced degree in financial engineering, economics, or finance, preferably with an emphasis on quantitative risk or valuation modeling;
- Strong quantitative skills, including extensive knowledge of capital markets and fixed income valuation principles and an ability to compare methodologies that price instruments with embedded options;
- Experience managing multi-stage projects to develop robust and documented model code;
- Knowledge and/or experience of more than one of the following: Matlab, Stata, SAS;
- Strong written and verbal communication skills, including the ability to explain complex, technical issues and make clear recommendations to audience with varied familiarity with collateral and valuation issues;
- Demonstrated management abilities and organizational skills, including the ability to successfully direct multiple assignments and guide junior staff;
- Exceptional interpersonal skills to communicate, collaborate, and effectively influence stakeholders.
This position requires access to FOMC 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.