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.

ECONOMIST | QUANTITATIVE RESEARCH With a proven track record in quantitative research, I thrive in challenging environments where innovation and analytical rigor are paramount. My expertise lies in conceptualizing and implementing cutting-edge mathematical models and statistical techniques to uncover trading opportunities and optimize investment strategies. In my experience as a quantitative researcher, I have honed my skills in mathematical modeling, statistical analysis, econometrics, machine learning, and data-driven research allowing me to navigate complex financial markets with confidence. My expertise in fixed income and monetary policy is a deep understanding of market microstructure and interactions of markets, policy, and events that drive them. I excel in translating algorithms into efficient code and leveraging unconventional data sources to drive innovation. With a diverse academic background and a passion for problem-solving, I am dedicated to pushing the boundaries of quantitative research to deliver tangible results in the dynamic world of finance.
- Languages C++, Matlab, Python, and R. Data visualization
- Recent projects: bond risk premia factor model, Fed Funds rate (FFR) and money market rates under different Fed preferences for managing the FFR, assessing capital and liquidity for G-SIB banks, developing and validating credit and operational risk models
- VaR for forex

ACHIEVEMENTS: - PCA estimates of term structure of US Treasury security risk premia from latent and macroeconomic factors. - Estimated volatility model of overnight policy and wholesale money market rate response to FOMC policy changes. - Developed operational risk LDA model, Matlab code, documentation.

STRENGTHS COMPETENCIES: - PhD Economist | Macrofinance | Advanced quantitative methods | Econometrics | Statistics | Probability | Financial mathematics | Deep learning | Monetary policy | Repo, credit funding | Risk mitigation model development & validation: credit, operational, counterparty credit, liquidity risk, market risk | Software: R, Matlab, C++, Stata, Python, GitHub, LaTeX. - Effective communication with multiple stakeholders, well-organized, lifelong learner.Econometrics, statistics, probability,financial mathematics, deep learning

Experience

Current

Economist/founder

Current

qaEconomics

Jan 2020 - Present (4 years 5 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.