Northwestern University - Kellogg School of Management

Brown University

Senior Emerging Markets Research Analyst at Aegon Asset Management

Chicago, Illinois, United States

Emerging Markets Sovereign Credit, Rates, and FX

Aegon Asset Management

Senior Emerging Markets Research Analyst

Emerging Markets Research Analyst

Assisted with a research paper published in the "Journal of Monetary Economics" on the the causal channel through which the financial crisis lead to a prolonged rise in U.S. unemployment, by implementing triple difference-in-differences models on micro level data of the labor force. Coded Matlab programs for performing the variance reduction technique of "importance sampling" in Monte Carlo simulations of bank loan portfolio defaults to better understand the magnitude and likelihood of extreme tail event losses in the U.S. banking system.  Researched financial contagion by performing network analysis on the trading book counterparty exposures of the largest U.S. Banks.Researched the effect of increases in interest rates on the trading book P&Ls of the largest U.S. banks, using Multidimensional Radial Basis Function Interpolation in Matlab. Researched P&L sensitivities to interest rate changes in the presence of duration hedging.Collaborated with PhD economists on developing and coding production-grade revenue and loss forecasting models for the 30 largest U.S. banks under adverse economic scenarios for the Dodd-Frank mandated banking stress test, the Comprehensive Capital Analysis and Review (CCAR). Member of the Pre-Provision Net Revenue (PPNR) and Wholesale Credit Loss modeling teams.Assisted PhD economists with researching new econometric forecasting techniques to be used for future iterations of stress tests; Authored 25 page policy memo; Presented findings to Federal Reserve Bank of Boston President, Eric Rosengren.

Laura Fried

Laura Fried