Nancy Hammond

Greater Chicago Area United States

Manager at KPMG

Finance / Banking / Insurance

Economist, University of Chicago, MA, Ph.D. Financial economics, macroeconomics, econometrics Probability of default: structural and reduced form | Loss given default | Exposure at default Extreme value theory and operational loss | Frequency model for operational loss Factor and affine term structure models: latent, finance, macroeconomic factors Options pricing | Time varying expected equity returns Vector autoregression | error correction Term structure of risk premia of Treasury coupon bonds with latent factors: level, slope, curvature Term structure with macroeconomic factors: inflation, real activity | return forecasting factor Charge offs for student loan portfolio | Recovery for...