Visiting Scholar (Contractual) - MCMFS

Work for the IMF. Work for the World.

The expert will support staff in developing an agent-based model for the repo market and selected money and capital markets to assess systemwide risks from repo-funded and leveraged investments. Such tools could advance the frontier of systemwide risk analysis—in high demand by G7 central banks and key standard setting bodies—and essential for understanding risks from NBFI activities, such as rising basis trades in sovereign markets by hedge funds levered up by repo. The model could include mapping repo and key asset market structure and interconnections; designing a framework that realistically captures market segments and key participants; modeling supply and demand behavior; identifying key propagation channels; and conducting simulations in a stressed market environment. The expert will focus on modeling generic banks and non-bank agents’ behaviors taking into account their regulatory constraints (such as leverage and liquidity requirements) and internal risk limits, enabling a realistic representation of both supply and demand in repo markets, which can be adapted to different data environments. To the extent possible, tailored models could be calibrated to support ongoing US and UK FSAPs.

Within the project, the expert will play a central role in:

•           designing the core agent-based structure of the repo and selected money and capital markets;

•           formalizing agents’ behavioral rules and constraints;

•           guiding model calibration using firm level and transaction level data;

Expected output(s) and deadline(s): The note/document should be delivered by Apr 30, 2027.

Department:

Hiring For:

The IMF is guided by the principle that the employment, classification, promotion, and assignment of staff shall be made without discrimination against any person. We welcome requests for reasonable accommodations for disabilities during the selection process. Information on how to request accommodations will be provided during the application process.