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Posted: Monday, February 20, 2017 10:20 AM

Position Description:

Position Summary

One of the largest global insurers is seeking qualified candidates to join as Assistant Director in the Model Risk Management Group (MRMG), within the Corporate Enterprise Risk Management (ERM) function. Executing on an effective Model Risk Management has been identified as a strategic objective by AIG senior management and it requires an active engagement of model owners and independent model validators.

Model validators review analytics and soundness of models and provide effective challenge on large, complex models ranging from natural and manmade catastrophe models, to premium pricing models to economic and econometric models. This particular position entails heavy involvement with different kinds of the Investments models, both pricing and risk management in nature.

A successful candidate will be expected to

  • Validate high-impact models.
  • Design additional tests that pose effective challenge to internal models and vendor models.
  • Identify and document model deficiencies; communicate to model owners.
  • Review and provide feedback to model owners on proposed corrections to identified deficiencies.
  • Support Model Validation team’s management by assisting with identifying and analyzing risks, creating reporting processes, escalating issues of concern, developing deliverable dates for specific initiatives and monitoring project progress.
  • Contribute to periodic review and update to ERM’s model risk management policies, procedures and templates and assess model risk capital requirements.

Position Requirements:

The Ideal Candidate Will Have

  • M.S. or Ph.D. in a quantitative field.
  • 6+ years of experience in hands-on developing and validating complex insurance / finance / econometric models. Candidates that have been model users rather than developers can be considered only if they possess deep understanding of analytical subtleties on top of the market implications/impact on business decisions.
  • To be considered, candidate's area of expertise should come form the following set: Structured Finance, Bond and Derivatives, Market Calibrations, Market Risk (VaR, PFE, etc.). Broad exposure is a plus, but not at the expense of the deep understanding.
  • Competency in high level programming languages like Matlab, SQL, VBA.
  • Excellent verbal and written communication skills.
  • Experience working in matrix-structure, good interpersonal skills to bring positive influence on upstream teams.
  • Regulatory experience is a plus (familiarity with CCAR / SR11-07 and other similar requirements).
  • CCAR experience, econometric and statistical knowledge are also a plus.

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• Location: Manhattan

• Post ID: 93968151 manhattan is an interactive computer service that enables access by multiple users and should not be treated as the publisher or speaker of any information provided by another information content provider. © 2017