Federal Reserve Bank (FRB)
Quantitative Policy & Analysis Senior Analyst–Associate - Markets Group (Finance)
The mission of the Federal Reserve Bank of New York's (FRBNY) Markets Group is to implement market operations for monetary policy, execute lender of last resort operations for the Second district, and provide multiple financial services (including collateral valuation services) to central banks and the US Treasury.
FRBNY seeks a quantitative senior analyst for its Collateral Valuation and Analysis (CVA) staff within the Markets Group. The CVA staff is responsible for developing and maintaining a suite of statistical valuation and risk management models. The models are used to determine how much credit the Federal Reserve's Discount Window and payment systems should extend to depository institutions against a diverse pool of pledged collateral. Additionally, CVA develops models on behalf of other teams within the Markets group such as the model used to set margin requirements for counterparties to the System Open Market Account (SOMA) portfolio.
The senior analyst will support other team members to develop new and improve existing models. Responsibilities will range from writing code that generates analytics, to making updates to the code or production process to improve model efficiency or effectiveness. The senior analyst will also be expected to clearly summarize and communicate complex technical concepts and results to stakeholders.
In this role, the senior analyst will be exposed to a broad range of data analysis techniques and valuation and margining models. He/she will be expected to work collaboratively in a mixed research and production environment.
Your role as a Quantitative Policy & Analysis Senior Analyst - Associate: