Quantitative Analyst 2

  • Location
    New York, New York
  • Job type
  • Category
    Accounting & Finance - Financial Analyst

Duration - 6 months from start


Job Description:

Overview of business area or project: Models and Methodology team within Markets and Liquidity Risk Management (MLRM), part of CRO

Key Responsibilities: Implement technological solutions to set up monitoring of model assumptions and limitations for the IHC VaR models. The role requires working with the model owners to automate calculations (some prototypes in Excel and R) into C# and/or Python tools and set up regular reporting of results. In addition, portfolio testing code for Credit and Equity VaR models will need to be built. The models cover mortgage, equity, credit and bond products.

Overview of department/team: The Models and Methodology team within MLRM is responsible for all market risk modeling globally. The models cover Value-at-Risk (VaR), Risks-not-in-VaR, Economic Risk Capital and other risk metrics designed to capture tail risk exposures across all asset classes. The IHC VaR models are primarily focused on securitized products, credit and equities businesses. The modeling for these asset classes is covered globally by about 30 professionals, with advanced quantitative and technical skills. The team in New York has 11 people.

Challenges contractor will be facing in role: Work with a variety of different IT systems

Essential skills and qualifications: Programming in C#, Database skills (sql, etc)

Desired skills and qualifications: Programming in C# and/or Python. Database knowledge (SQL, large dataset manipulation)


Years of Experience suggested: 4+ in C#


C# Is an absolute requirement for this role.


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Reference number US_EN_99_170877_11879068