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Posted: Wednesday, June 14, 2017 11:18 AM

Position Description:

Research and Develop stressed portfolio credit risk models on Asset backed loan, project finance, supply chain finance, structured credit and trade finance with key risk drivers considered and stress tested.

Working with credit officer on credit Scoring on unrated obligor (Quantitative and qualitative)
Identify key asset risk drivers and credit risk drivers, which include structure risk drivers such as GDP, interest rate

Defines and validates credit and asset correlation matrix that reflects underlying industrial and regional influences

Define and validates correlation between credit and asset risks.

Quantifies risk compensation factors under through the cycle condition

Conducts stress testing against a wide array of scenarios based on the suit of PD, LGD and EAD model

Conducts sensitivity testing of credit, market or other external stress factors such as interest rate, exchange rate, GDP growth rate starting from the baseline position

Position Requirements:

Master’s or higher in quantitative fields from top university. Mathematics, Statistics & Probability, Physics, Financial Engineering with Economics or Finance background preferred
Strong Knowledge of asset risk & credit risk life cycles required
Keen understanding of varies modeling methods and analytical techniques (logistic regression, survival analysis, Tobit regression, inflated beta, Bayesian model, Markov Chains Monte-Carlo simulation, KMV, CreditMetrics , CreditRisk+, CreditPortfolio View, Option Pricing and Derivatives, Greeks, Fixed Income, Interest Rates Derivatives, Swaps, Stochastic Calculus, Brownian motion, Probability, Forwards, Futures) as applied to the design, development and validation of risk rating models.
3+ years hands-on modeling experience (Credit Risk, Interest Rate Risk, Market Risk) in a financial environment is required
3+ years experience in statistical modeling software i.e. SAS/R, VBA, Python

Strong analytical problem-solving and project management skills
Strong collaboration and relationship building skills
Excellent written, verbal and presentation skills.
Highly motivated, detail-oriented, self-starter, who can set priorities, take initiative and work both independently and proactively in a dynamic team environment

About Us:
American International Group, Inc. (AIG) is a leading global insurance organization. Founded in 1919, today we provide a wide range of property casualty insurance, life insurance, retirement products, mortgage insurance and other financial services to customers in more than 100 countries and jurisdictions. Our diverse offerings include products and services that help businesses and individuals protect their assets, manage risks and provide for retirement security. AIG common stock is listed on the New York Stock Exchange and the Tokyo Stock Exchange.

Join our Talent Network at Additional information about AIG can be found at and | YouTube:> | Twitter: @AIGinsurance | LinkedIn: These references with additional information about AIG have been provided as a convenience, and the information contained on such websites are not incorporated by reference into this press release.

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• Location: Manhattan

• Post ID: 110286563 manhattan
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