Looking for a job

Nancy Hammond

@nancyhammond

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United States

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What I'm looking for

My ideal place is a quant role in finance, particularly fixed income. My interest is in financial markets and the impact of monetary policy on security returns. Currently working with daily Fed Funds rates and repo market rates to better understand repo markets, dealer intermediation of UST securities, and monetary policy.

NANCY HAMMOND Ph.D. ECONOMIST, QUANTITATIVE RESEARCHChicago, IL 60661 | 312.709.5328 | [email protected] | GitHub: @nhammond36 | LinkedIn: LinkedIn Profile https://linkedin.com/in/nahammondphd | Portfolio: Personal WebsiteI am an economist and quantitative researcher with over 15 years of experience in financial markets, monetary policy, and macroeconomic risk. My work combines rigorous academic research with practical modeling expertise to generate policy-relevant insights for central banks, financial institutions, and consulting firms.
My recent research includes:
• Estimating Treasury yield curves and bond risk premia using latent and macroeconomic factors
• Modeling interest rate volatility in the overnight and repo markets, revealing the Federal Reserve’s strategic preference for managing volatility within its target range
• Developing counterparty credit risk and liquidity risk models using stress testing and market-to-market techniques
I have held faculty positions at Northwestern and DePaul, teaching courses in finance, macroeconomics, and monetary policy. I hold a Ph.D. in Economics from the University of Chicago and am currently deepening my machine learning and programming skills, with a focus on applications to forecasting and risk modeling.
Technical expertise: Econometrics, time series, volatility modeling, ML (in progress) | Python, R, C++, Matlab | Financial economics, monetary policy, macro-finance.
I'm passionate about uncovering how policy and market dynamics interact to influence economic outcomes and financial stability.

SKILLS • Econometrics, time series • Mathematical finance • Risk management, model development and validation • Equity and fixed income valuation • Machine learning, deep learning. • Data analysis, visualization, forecasts • Python, C++, R, Matlab, LaTex Github Stata

QaEconomics Financial and Economic Consulting Founder, economist Chicago, Illinois

Experience

Work history, roles, and key accomplishments

Current

Economist/founder

Current

qaEconomics

Jan 2020 - Present (5 years 4 months)

Estimated term structure of US Treasury security risk premia using PCA with latent and macroeconomic factors
- Developed Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, and Liquidity Risk models.
- Prepared a macroeconomic report on the United Arab Emirates.
- Estimated volatility model of overnight policy and wholesale money market rate, response to FOMC policy changes.