Senior Quantitative Risk Analyst

American International   •  

New York, NY

Industry: Insurance


Not Specified years

Posted 395 days ago

Position Description:

Position Summary

American International Group (AIG), Inc., a leading U.S. based international insurance firm, is seeking a Senior QuantitativeRisk Analyst within the Market Risk function of AIG Enterprise Risk Management(ERM). AIG ERM has established a centralized RiskArchitecture and Reporting function, initially dedicated to designing technologyarchitecture and framework, and generating Investment, Corporate, Commercial and Consumer board level riskreports. This growing group has an expanded mandate that includes Internal Capital, RiskDriver Simulation, Asset Liability Management ("ALM") as well as the data time series and market tickers supporting CCAR and other key firm initiatives.

Activities and Responsibilities include:

  • RiskDriver Simulation tool re-design and development. This tool is designed to help understand riskdrivers from all risk factors via different scenario simulations and assess scenario severity, for example CCAR scenarios.
  • Streamline and integrate existing processes within the firm being used for Internal Capital. Internal Capital is an AIG firm wide initiative that quantifies how much capital AIG's business units and entities needs.
  • Streamline and integrate existing processes within the firm being used for Asset Liability Management, Stress Testing and  RiskReport production.
  • Work closely with Reporting, Actuarial, Investments and Operation & Systems teams within AIG to develop and operationalize risk calculations used in various analyses throughout ERM.
  • Support the ticker and time series data repository used in CCAR, Budget and Risk Charge calculations and use this for across initiatives in firm.
  • Participate in various risk management projects to support CCAR, Investments, ALM, Market and Credit Risk Analytics team via hands-on development work in R/SAS, Python, MatLab or VBA coding.
  • Expand knowledge and expertise in industry best practices of Enterprise Risk Management. 

Position Requirements:

The Ideal Candidate Should Have

  • 5+ years work experience in a quantitatively oriented role in Banking, Insurance, Asset Management or Hedge Fund.
  • Master’s or higher degree in statistics, physics, mathematics, economics, computer science, quantitativefinance or similar quantitative field.
  • Strong quantitative analysis and problem solving skills.
  • In-depth understanding of capital markets instruments and concepts. Basic knowledge of Insurance industry preferred.
  • In-depth and extensive understanding of market and portfoliorisk models couples with strong data manipulation and analysis skills.
  • Strong communication, presentation and interpersonal skills, ability to lead junior members and work flexible hours with overseas offices, and work independently.
  • Highly organized and attention to detail, energetic and reliable, accountable for delivery under pressure.
  • Strong MS Office suite, SQL, Oracle, MATLAB or Python, R skills. Familiarity with third party financialdatabases such as SNL, Moody’s Credit Edge, Barclays, Bloomberg, JP Morgan Markets etc.