Todd Prono serves as a Senior Economist at the Federal Reserve Board, where he plays a pivotal role in the Quantitative Risk Analysis Section. His expertise lies at the intersection of econometrics and finance, particularly in the areas of asset pricing and quantitative risk management....
Todd Prono serves as a Senior Economist at the Federal Reserve Board, where he plays a pivotal role in the Quantitative Risk Analysis Section. His expertise lies at the intersection of econometrics and finance, particularly in the areas of asset pricing and quantitative risk management. With a robust background in conditional volatility modeling, Todd specializes in advanced methodologies such as Value-at-Risk (VaR) and Expected Shortfall (ES) modeling, which are critical for assessing financial risks faced by systemically important Central Clearing Participants (CCPs).
In his current role, Todd is deeply involved in the validation of margin models, ensuring that these models accurately reflect the risks associated with derivatives trading and other financial instruments. His research focuses on two-stage least squares estimation of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models, particularly in contexts where errors exhibit heavy-tailed distributions. This research not only contributes to the theoretical framework of econometrics but also has practical implications for enhancing the robustness of risk management practices within the financial system.
Todd’s proficiency in operational risk, macroeconomics, and statistical analysis is complemented by his adeptness in using software tools such as Stata for data analysis. His insights into capital markets and financial analysis are invaluable, especially as regulatory frameworks continue to evolve in response to emerging market dynamics. Through his work, Todd Prono is not only advancing academic knowledge but also contributing to the stability and integrity of the financial system, making him a key asset to the Federal Reserve Board and the broader economic community.
