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 Desirable Qualifications:
The Ideal Candidate Should Have
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.
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