Job Overview

Area 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 Collateral Analysis and Management (CAM) staff provides collateral valuation and risk analysis for Federal Reserve System collateralized lending facilities.
CAM is currently seeking a senior analyst to further develop the collateral valuation capabilities of the NY Fed. Applicants should be interested in applying theory to practical asset valuation problems under information and operational constraints. The ideal candidate will possess strong quantitative skills, a working knowledge of asset valuation and risk management techniques, and demonstrated project management skills. As this candidate will be routinely working with staff at all twelve Reserve Banks, strong interpersonal and communications skills are an important qualification.
Job requirements and responsibilities are outlined below.

Job Responsibilities

Further refine and improve current Reserve Bank asset valuation models, with a focus on valuation models for whole loans and complex, illiquid securities.
Develop and draft proposals for model changes. Present these proposals and accompanying analysis to Federal Reserve System-wide groups.
Acquire and maintain knowledge of industry best practices for the valuation of whole loans and complex, illiquid securities.
Collaborate with staff at the NY and other Reserve Banks to address ad hoc collateral valuation and risk related questions as they arise.
Lead annual re-estimation of key valuation model parameters. Work with staff from other Reserve Banks to assess this analysis and propose changes to senior management.
Contribute to the analysis of market, credit and liquidity risks associated with certain assets.
Manage projects relating to collateral valuation and risk analysis.

Job Requirements

Graduate degree (Masters degree or PhD) in economics, finance or a related discipline;
Demonstrated Matlab, SAS and/or Stata programming skills;
At least three years relevant work experience;
Solid understanding of asset valuation and market/credit risk analysis (Value-at-Risk, etc.);
Proven ability to effectively manage complex projects involving both quantitative and qualitative analysis, drafting of results, and conveying complex material to non-technical audiences;
Ability to proactively develop and successfully promote ideas for improvements to existing valuation and risk analysis methodologies and practices;
Ability to work effectively both as part of a team and independently;
Strong presentation skills, ability to lead concise, effective discussions in formal and informal settings;
Strong written and oral communication skills, ability to articulate complex issues for a non-technical audience and make sound recommendations to senior Federal Reserve staffs.

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.

The Federal Reserve Bank of New York values and is committed to a diverse workforce.

Candidates must be eligible to work in the United States on a multi-year basis for other than practical training purposes (authorization under a student visa to engage in practical training does not satisfy this requirement).