Quant Policy/Analysis Associate – Collateral Valuation & Analysis
The Federal Reserve Bank of New York seeks a fixed income quantitative analyst for its Collateral Valuation and Analysis (CVA) staff. The CVA staff values and estimates the risk of a diverse pool of collateral pledged to the Discount Window and Payments System Risk (PSR) lending facilities, the System Open Market Account portfolio, and temporary liquidity facilities. Candidates for this position should be interested in finding solutions to complex valuation and margining issues, and in participating in policy discussions about collateral practices for the Federal Reserve's lending facilities.
The ideal candidate has a PhD in finance or economics, or a Master's degree in quantitative finance. In-depth knowledge of Matlab is required. Knowledge of fixed income valuation methodologies and the ability to clearly present modeling concepts to senior stakeholders within the Federal Reserve System are desired. 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 estimate the risk of 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.
· Think critically about the Federal Reserve System's models and suggest improvements to align practice with objectives and to augment the model control environment. Work with model validators to affirm conceptual and technical model design.
· Conduct empirical analysis of time series and panel data to inform work on theoretical models and highlight the impact of modeling decisions.
· Communicate with 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 documentation of model theory and code in a manner that meets validation and audit requirements.
· Keep abreast of relevant valuation and finance literature, and identify areas where new findings can be applied.
Qualifications:
Requirements
· Advanced degree in financial engineering, economics, or finance, with an emphasis on quantitative risk or valuation modeling
· Strong quantitative skills, including extensive knowledge of capital markets and valuation principles
· Strong written and oral communication skills, including the ability to explain complex, technical issues and make clear recommendations to Federal Reserve audience with varied familiarity with collateral and valuation issues
· Sound management and organizational skills, including the ability to direct multiple assignments and guide junior staff
· Exceptional interpersonal skills to communicate, collaborate, and effectively influence stakeholders across the System
· Knowledge and/or experience of more than one of the following: Matlab, Stata, SAS
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.
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