Nancy Hammond has 10 years of experience in finance, risk management, and econometrics. She has developed and validated risk models for large financial institutions to meet regulatory requirements. Her experience includes credit risk, operational risk, and model validation. She has a Ph.D. in Economics from the University of Chicago and programming skills in MATLAB, C++, R, Stata, and Excel.

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Nancy Hammond
Curriculum Vitae
210 South Des Plaines Street, 1706 | Chicago, IL 60661 | nahammond@uchicago.edu | 231-714-7184
Economist and financial services professional with 10 years of experience in finance and operational and
credit risk. Skilled econometrician and pricing bond, equity, and derivatives. Nancy has developed,
implemented, and validated risk and financial models for large financial institutions for CCAR/DFAST,
and Canadian Office of the Superintendent of Financial Institutions (OSFI). She emphasizes sound
model design, data integrity, and transparency meeting regulatory requirements. Programming languages
include: Matlab, C++, R, and Stata.
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EDUCATION
Ph.D. University of Chicago (Chicago, IL) Economics 2016
Committee: Robert Lucas (Chair); Casey Mulligan; Raaj Sah
Fields: Money and Banking; International Economics
A.B. University of California Berkeley (Berkeley, CA): Political Science
PROFESSIONAL EXPERIENCE
Model risk and validation
Operational risk
 Developed, implemented, and documented AMA Loss Distribution Approach (LDA) operational
risk management system for international bank. Authored extensive formal reports for client global
risk management group: 1) detailed review of all theory, procedures, and technical appendices and 2)
user manual for Matlab code
 Developed Poisson regression model of loss frequencies for operational risk Loss Distribution
Approach (LDA) model for international bank
 Performed positive assurance audit of Operation Risk LDA models for international bank. Assessed
internal and scenarios analysis data used to estimate model parameters. Reviewed model validation
and recommended additional tests for tail dependence.
 Developed background paper and deck for best practices in operational research
Credit risk
 Validated stress testing models for large bank preparing for its 2014 CCAR submission. Developed
benchmark and alternative models to forecast monthly gross charge-offs, remaining life time losses,
and monthly customer recoveries of student loans. Replicated bank models to evaluate the
reasonableness of bank’s submission. Conducted sensitivity and scenario analysis
 Performed positive assurance audit for Basel AIRB compliance for governance, probability of
default (PD), and loss given default (LGD) models. Reviewed all model and data documentation,
updates, and improvements for soundness and effectiveness of all quantitative tools. Reviewed
governance reporting for conformance with all regulatory requirements
 Authored review of prepayment models for borrower refinancing choice and valuation of mortgage
securities
 Validated equity margin loss model for large bank
 Performed audit of wholesale credit model validation and monitoring program for large bank
Econometric and empirical financial models
 Developed factor models to compare estimated US Treasury risk premia from latent financial, and
macroeconomic factors

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 Vector autoregression to estimate single and multi-period returns from macroeconomic data under
different assumptions of investor risk preferences and inter-temporal choice
KPMG. Risk Management Advisory Group (Chicago IL) May 2016 – current
Managerr
 Authored review of prepayment models for borrower refinancing choice and valuation of
mortgage securities
Protiviti, Risk Modeling and Compliance Group (Chicago IL) September 2013 – March 2015
Senior Consultant
 Developed Poisson regression model of loss frequencies for operational risk Loss Distribution
Approach (LDA) model. Produced data analysis and documented model theory for international
bank
 Performed positive assurance audit of Operational Risk LDA models for international bank.
Assessed integrity of use of internal and scenario analysis data in estimating distribution model
parameters and thresholds. Reviewed validation of diversification model and recommended
additional tests for tail dependence
 Performed positive assurance audit for Basel AIRB compliance including probability of default
(PD) and loss given default (LGD) models
 Validated stress testing models for large bank preparing forits 2014 CCAR submission. Developed
benchmark and alternative models to forecast monthly gross charge-offs, remaining life time
losses, and monthly customer recoveries of student loans. Replicated bank models to evaluate the
reasonableness of bank’s submission. Conducted sensitivity and scenario analysis
 Maintained up-to-date inventory and review of CCAR, DFAST, BASEL regulations
Navigant Consulting Energy Efficiency Group (Chicago IL) March 2010 to September 2012
Managing Consultant
 Evaluated energy pricing and control strategies to manage consumer peak period electricity
demand
 Developed energy demand models from utility panel data to assess changes in consumer demand
from utility energy efficiency monitoring or energy control strategies
RCF Economic and Financial Consulting (Chicago, IL) 2006 – 2010
Economist
 Implemented extreme value theory approach (EVT) operational risk management system.
.Authored reports for client global risk management group; 1) detailed review of theory and 2)
full documentation of Matlab software system
 Developed vector autoregression (VAR) and error correction models (ECM) (Stata) to analyze
response in advertising spending to short term and trend changes in economic activity
 Developed and analyzed count data models for advertising applications
Argonne National Laboratories 2001 – 2006
Research Associate: Regional Data Center, Federal Reserve Bank of Chicago
 Developed stochastic frontier analysis models (Stata, SAS, Unix) from firm level energy use cost
functions. Aggregate results to identify industry wide energy use best practices for the
Environmental Protection Agency (EPA) Energy Star program

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COURSE WORK IN FINANCE:
CERTIFICATE https://www.coursera.org/account/accomplishments/certificate/ZURA84VUTR
Asset pricing, Part 2, John Cochrane, University of Chicago Booth School of Business 2015
Fama-French expected return beta model, classic regressions -- time series, cross section, return
predictability and volatility, equity premium puzzles and link between macro economy and asset prices,
options, bonds – term structure models, PCA and factor models; and portfolio theory
Asset pricing Part 1, John Cochrane, expected July 2017
Empirical finance with Pietro Veronesi, John Heaton. Winter 2016
Mathematical finance with Stavros Panageas Spring 2016.
TECHNICAL SKILLS and LANGUAGES
MATLAB, C++, STATA, Excel, R, SAS, Microsoft Office
French, Spanish, Russian, modern standard Arabic
Graham School University of Chicago Modern standard Arabic 2009-2010
RESEARCH
“Single factor models of US Treasury bond risk premia 1969-2013”
This paper isolates the contribution of inflation and real activity to risk premia of annualized monthly
returns on two to five year US Treasury bonds from 1969 to 2013. An inflation factor composed from
consumer, producer and commodity price indices explains up to three quarters of the variance of excess
returns on five year bonds. The share increases with maturity. The real activity factor, a function of non-
farm employment, industrial growth rate, and the unemployment rate, accounts for under one third, the
share of variance explained decreases with maturity. Inflation is associated with the slope yield curve
factor. Real activity is associated with curvature. Both inflation and real activity affect the level of risk
premia over the business cycle. Premia fall with inflation and increase with real activity, consistent with the
narrowing of premia in periods of inflation and observed increased excess returns and forward spot
spreads during recessions. Regressing yield curve factors on inflation and real activity also reveals the close
association of slope with inflation and real activity with curvature.
TEACHING EXPERIENCE
Northwestern University & Northwestern School of Continuing Studies (Evanston & Chicago, IL)
Lecturer (1995 – 2004) Developed course content, taught classes of 20 – 80 students, tailored learning
 International Finance
 Money and Banking
 Microeconomics
 Macroeconomics
 Economic Growth
University of Chicago Booth School of Business (Chicago, IL)
Research Associate (2002-2004) Taught review sessions, graded exams, provided research
 International Finance
 Macroeconomics
 Microeconomics
University of Chicago (Chicago, IL)
Lecturer, Microeconomics (1991-2) Developed course content, taught classes of 40 students

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Teaching Assistant, Econometrics (1990) Ran teaching sessions, graded. Organize math group to learn linear
algebra
REFERENCES
Robert Lucas relucas@uchicago.edu 773.702.8191
Casey Mulligan c-mulligan@uchicago.edu 773.702.6576
WEBSITES
https://sites.google.com/site/nahammond/
https://www.linkedin.com/in/NancyAHammond
https://nancyahammond.wordpress.com/