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Posted: Wednesday, July 12, 2017 10:53 AM

Position Description:

Position Summary

American International Group, Inc., a leading U.S. based international insurance organization, is seeking a Senior Analyst level market risk professional within its Market Risk Analytics team.

The Market Risk Analytics team has been tasked with building a robust methodology and infrastructure for quantifying market risks. This includes quantification of market risk capital (both regulatory and economic), earnings at risk and liquidity at risk.

  • Perform time series analysis of market risk factors (e.g. interest rates, credit spreads, equity levels, inflation, asset correlations), calibration of risk models, modelling of “tail” scenarios.
  • Execute analyses on asset modeling platforms (e.g. RiskWatch) in order to quantify AIG’s risk exposure under stress scenarios.
  • Build prototype models to automate risk quantification, in Excel, Matlab, R, C++ or Python, and write business requirements for implementation by IT.
  • Create detailed documentation for all key models that conform to AIG's model standards.
  • Present modeling methodologies and analyses of results to stakeholders (including risk officers, portfolio managers and CIOs).
  • Participate in the assessment of major transactions, including the application of risk models to estimate the impact of potential transactions on economic solvency, earnings and capital.


Position Requirements:

The Ideal Candidate Should Have

  • Graduate degree in quantitative field, e.g. physics, mathematics, statistics, econometrics, quantitative finance.
  • 4+ years of quantitative risk management experience.
  • Working level knowledge of capital markets instruments and concepts.
  • Hands-on experience in building robust and well documented models across a range of analytical platforms (e.g. R, Python and MatLab).
  • Experience using advanced statistical models to fit distributions to historical data and subsequent back-testing.
  • Good communication and interpersonal skills.

Desirable Qualifications:

  • Familiarity with Barrie & Hibbert in the context of stochastic scenario generation.
  • Working knowledge of methodology and support of one of the following risk engines: VaR, Incremental Risk Charge, Incremental Default Charge, Economic Capital or Earnings at Risk.
  • Experience dealing with front-office staff and decision makers. Ability to translate complex analytic concepts to a broad audience.
  • Strong sector knowledge of one of the following areas: corporate debt, structured products, or alternative investments.


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 www.aig.com/talentnetwork. Additional information about AIG can be found at www.aig.com and www.aig.com/strategyupdate | YouTube: www.youtube.com/aig> | Twitter: @AIGinsurance | LinkedIn: http://www.linkedin.com/company/aig. 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.


Notice Text:


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• Location: Manhattan

• Post ID: 112096373 manhattan
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