Nancy Hammond, Economist

Nancy Hammond

Economist

qaEconomics

Lieu
Etats Unis - Loop
Éducation
Diplôme, SoFiE Certificate in Machine Learning and Finance
Expérience
19 years, 4 Mois

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Expériences professionnelles

Total des années d'expérience :19 years, 4 Mois

Economist à qaEconomics
  • Etats Unis - Loop
  • Je travaille ici depuis janvier 2020

- Developed PCA latent and macroeconomic factor model to estimated term structure of US Treasury security risk premia
- Developed historical VaR, Monte Carlo VaR, stressed VaR, liquidity risk, and credit risk models.
- Developed historical volatility and EGARCH models of Federal Funds rate (FFR), repo market rates joint with FOMC shocks to estimate FED preference for offsetting volatility managing the FFR within FOMC target range
- Prepared a macroeconomic report on the United Arab Emirates.
- Developed tools for counterparty risk, market-to-market, margin, and stress testing.

Economist/Founder à qaEconomics - Financial and Economic Consulting
  • Etats Unis - Loop
  • Je travaille ici depuis janvier 2020

- Developed PCA latent and macroeconomic factor model to estimated term structure of US Treasury security risk premia
- Developed historical VaR, Monte Carlo VaR, stressed VaR, liquidity risk, and credit risk models.
- Developed historical volatility and EGARCH models of Federal Funds rate (FFR), repo market rates joint with FOMC shocks to estimate FED preference for offsetting volatility managing the FFR within FOMC target range
- Prepared a macroeconomic report on the United Arab Emirates.
- Developed tools for counterparty risk, market-to-market, margin, and stress testing.

Lecturer, Corporate Finance à DePaul University - Driehaus School of Business
  • Etats Unis - Loop
  • janvier 2020 à juillet 2022

- Taught corporate finance, risk assessment, return on investments, cost of capital, capital structure,
and the relationship between interest rates and the economy.
- Instructed on creating and analyzing financial models for decision-making.
- Introduced the concept of shadow banking and its implications for financial system stability

Managing Consultant à Advisory, KPMG
  • Etats Unis - Loop
  • décembre 2016 à juillet 2017

- Developed credit risk and operational risk models for global systemically important banks (G-SIBs).
- Reviewed equity margin loss models and provided guidance on prepayment models for mortgage securities.
- Documented best practices for operational risk mitigation. credit risk and operational risk models for global systemically important banks (G-SIBs).

Senior Quantitative Researcher à Risk, Protiviti
  • Etats Unis - Loop
  • mars 2013 à septembre 2015

- Quantified and submitted capital adequacy and liquidity assessments for G-SIB clients for CCAR reports.
- Conducted operational risk modeling and stress tests for Federal Reserve risk scenarios. - - -
- Developed a Poisson regression model for loss frequencies in operational risk LDA models.
-Successfully submitted capital adequacy and liquidity assessments for G-SIB clients for CCAR reports.
- Conducted
operational risk modeling and stress tests for Federal Reserve risk scenarios. - Developed a Poisson regression
model for loss frequencies in operational risk LDA models.

Managing Consultant à Energy Efficiency, Navigant
  • Etats Unis - Loop
  • janvier 2011 à novembre 2012

• Created strategies, models, and analyses to optimize energy consumption and demand.
- Measured response to energy efficiency equipment and energy pricing and incentives.

Economist à RCF Economic and Financial Consulting
  • Etats Unis - Loop
  • avril 2006 à mai 2010

- Provided strategy, trends, and sector-specific analyses for clients’ decision-making.
- Developed Loss Distribution Approach (LDA) operational risk models for G-SIBs
- Designed vector autoregression and error correction models
- Prepared white paper on price and quantity indices.

Economist à Argonne National Laboratory
  • Etats Unis - Loop
  • janvier 2001 à mars 2006

-Develop models for energy use cost functions for corn product producers. - Researched energy use data from various
sources and visualized results to communicate insights effectively.

Assistant Professor à Northwestern University
  • Etats Unis - Evanston
  • septembre 2000 à septembre 2004

Prepared instructional materials for lectures for courses in international finance, money/banking, economic growth, and demography. - Mentored students and employed innovative teaching methods.

Éducation

Diplôme, SoFiE Certificate in Machine Learning and Finance
  • à Financial Mathematics, University of Chicago
  • janvier 2018
Doctorat, Ph.D. in Economics,
  • à University of Chicago
  • mars 2016

Specialties & Skills

Time Series Analysis
Econometrics
Monetary Economics
Monetary Policy
Fixed Income Research
C (PROGRAMMING LANGUAGE)
R (PROGRAMMING LANGUAGE)
RESEARCH
OPERATIONAL RISK
Time series
INTERNATIONAL FINANCE
ECONOMIC GROWTH
CREDIT RISK
Econometrics
Volatility analysis
Mathematical finance
Vector autoregression

Profils Sociaux

Langues

Anglais
Langue Maternelle
Arabe
Moyen
Français
Moyen
Russe
Moyen
Espagnol
Expert

Adhésions

American Finance Assocation
  • Member
  • January 2012
American Economic Association
  • Member
  • January 2000
Midwest Finance Association
  • Member
  • February 2024