Quantitative Policy and Market Analysis Associate
Overview:
The Markets Group of the Federal Reserve Bank of New York implements monetary policy on behalf of the Federal Reserve System and acts as fiscal agent for the U.S. Treasury. The Portfolio Analytics (PA) staff within the Markets Group focuses on portfolio analysis as it relates to monetary policy functions and risk analytics.
PA is currently seeking a Quantitative Policy and Market Analysis Associate/Senior Associate to contribute to analysis of the SOMA holdings and related policy matters with a focus on agency mortgage-backed securities. The ideal candidate has strong programming and quantitative skills, experience working with MBS prepayment models, and can work well in a team environment. Strong interpersonal and communication skills are important qualifications. Familiarity with financial risk metrics and monetary policy are desired.
Job requirements and responsibilities are outlined below. Candidates are not required to have all requirements to apply and job responsibilities will depend upon skills, though they should have a desire and willingness to expand their skill set in those areas.
Job Responsibilities:
- Serve as a resident expert on agency MBS market dynamics, pricing and prepayment modeling;
- Develop models in Matlab which make projections of fixed-income asset cash flows, valuations and liability costs, determine risks to interest income and perform scenario analysis of the portfolios;
- Write memos to the SOMA manager and other senior Federal Reserve officials regarding portfolio guidelines, portfolio risks, and conceptual issues related to the management and investment of SOMA's domestic and foreign portfolios;
- Work closely with other business areas responsible for executing operations to ensure analysis and recommendations reflect consideration of implementation/market issues;
- Actively participate in the development of a SOMA portfolio analytics platform. This includes designing, coding, implementing, and documenting ad hoc portfolio analysis tools using a sophisticated integration of Matlab code with Spotfire.
Qualifications:
Requirements:
- Masters or PhD in economics, finance, mathematics, or computer science;
- At least three years of relevant work experience;
- Strong understanding of agency mortgage-backed securities and prepayment modeling;
- Experience with MBS data and prepayment modeling application is a plus;
- Strong technical background and experience using some, or all, of the following programs/languages for analyzing, managing, and manipulating large, complex data sets: STATA, Matlab, R, SAS, PERL, JAVA;
- Familiarity with monetary policy implementation, including an understanding of the Federal Reserve balance sheet and open market operations, is a plus;
- Ability to work effectively both as part of a team and independently;
- Strong written and verbal communication skills.
This position can be based in either New York or Chicago. This position requires access to Federal Open Market Committee Data, 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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