In the ECB's Bond and International Markets Division I worked directly with financial markets and central-bank portfolios. I prepared statistical analysis of market developments for the bond-market team and material for the Executive Board, contributed to investment strategy for the ECB's foreign-exchange fixed-income portfolio and monitored its performance and risks. The role included compilation and dissemination of data on managed portfolios and foreign-exchange interventions, including database architecture, and policy work on foreign exchange and asset-purchase programmes. I worked on the trading floor using Bloomberg, Reuters, EBS and 360T and interacted with banks, investment funds and other central banks. Technical work included Python analysis of more than 100 GB of tick-by-tick FX data and Tableau tools for VaR, portfolio performance, equities, commodities and volatility.
Market analysis
I prepared regular and ad-hoc analysis of sovereign bond and foreign-exchange markets, yield curves, spreads, volatility and other indicators relevant to monetary policy, financial conditions and reserve management. The work included material for the bond-market team and senior ECB decision-makers.
Reserves and portfolio management
I contributed to investment strategy for an ECB foreign-exchange fixed-income portfolio and monitored performance, risk and benchmarks. I also developed analytical tools used for portfolio and market-risk monitoring.
FX interventions and databases
The role included compiling and disseminating data on managed portfolios and foreign-exchange interventions, including database architecture. This coincided with the period in which the ECB expanded systematic public reporting on foreign-exchange interventions.
Asset-purchase programmes
I prepared policy material related to foreign exchange and asset-purchase programmes. The role covered the period of the APP and the launch of the PEPP during the pandemic, giving me direct exposure to the market-operational side of monetary-policy implementation.
Technical tools
I used Bloomberg, Reuters, EBS, 360T, Python and Tableau. I analysed more than 100 GB of tick-by-tick foreign-exchange data and developed tools for Value-at-Risk, portfolio performance, equities, commodities and volatility.