Financial Modeler - 226491
The Portfolio Analytics (PA) staff within the Markets Group is currently seeking a Financial Modeler to participate in a complex, multi-faceted project to implement a Portfolio Analysis, Reporting, and Implementation Support System (PARISS). This system will involve the development of a front-end application that enables analysts to easily view and analyze all aspects of the Federal Reserve’s domestic and foreign System Open Market Account portfolios, including the ability to forecast holdings and returns under different scenarios and analyze/prepare for the Federal Reserve’s open market operations.
The ideal candidate has strong financial modeling, programming, and technical skills, with experience working on product development and implementation. This includes familiarity with fixed income securities, financial risk metrics, financial markets and portfolio data. Strong interpersonal and communication skills are important qualifications. Knowledge of monetary policy issues and implementation is a plus.
- Design, code, and document Matlab models which make projections of asset cash flows and liability costs, determine risks to interest income, perform scenario analysis, and understand mark-to-market analysis of the portfolios
- Work closely with the Project Business Lead in understanding high priority business requirements and corresponding business cases
- Design and implement Business Intelligence reports and views that rely on the outputs of Matlab models
- Participate and guide the Quality Assurance team in creating test scripts and user acceptance criteria for new models and dashboards
- Upon completion of the project, serve as the PARISS Product Manager to manage, prioritize, and support production issues and changes. In doing so, it is essential to develop a solid understanding of the PARISS application
- Aid in the governance of models and oversee the process of moving models from development to a production environment
- A graduate degree (Masters degree or PhD) in economics, finance, computer science, or a related discipline and/or 3 years work experience, which includes conducting data analysis and developing models for a production environment
- Solid understanding of portfolio risk and return measurement techniques, including duration, convexity, cash flow analysis, and scenario analysis for assets held in the SOMA portfolio (Treasury, agency debt and agency MBS, sovereign debt)
- 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, SQL
- Ability to work effectively both as part of a team and independently;
- Strong written and oral communication skills
- Knowledge of Spotfire is a plus
- Familiarity with monetary policy implementation, including an understanding of the Federal Reserve balance sheet and open market operations, is a plus
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.