Quantitative Associate – Collateral Valuation and 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 fixed income 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 Master's degree in quantitative finance, or a PhD in finance or economics. 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 strongly desired. Candidates should have the ability to manage multiple demands and to maintain working relationships with a broad group of stakeholders.
Responsibilities
- Help to develop and implement improvements to valuation models, including the creation of requirements, code design documents and test scripts
- Conduct empirical analysis of time series and panel data to inform work on theoretical models and highlight the impact of modeling decisions
- Maintain documentation of model theory and code in a manner that meets validation and audit requirements
- 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
- Take ownership of model maintenance, including working with external parties to test models in response to changes in the systems environment and interfaces. Perform code adjustments as needed
- Communicate with Federal Reserve management about collateral matters and modeling choices in a manner that highlights important business considerations and modeling tradeoffs
- Keep abreast of relevant valuation and finance literature, and identify areas where new findings can be applied
Requirements:
o Advanced degree in financial engineering, economics, or finance, with an emphasis on quantitative risk or valuation modeling
o Strong quantitative skills, including knowledge of capital markets and valuation principles
o Strong written and oral communication skills, including the ability to explain complex, technical issues to an audience with varied familiarity with collateral and valuation issues;
o Exceptional interpersonal skills to communicate, collaborate, and effectively influence stakeholders
o Knowledge of Matlab. Familiarity with Stata and SAS is desired
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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