Senior Quantitative Risk Analyst

Company Name: AIG

Job Contact: Apply on company website

Contact Email: N/A

Job Location: New York, NY

Date: 8/9/2017

Job description
Position SummaryAmerican International Group (AIG), Inc., a leading U.S. based international insurance firm, is seeking a Senior Quantitative Risk Analyst within the Market Risk function of AIG Enterprise Risk Management(ERM). AIG ERM has established a centralized Risk Architecture and Reporting function, initially dedicated to designing technology architecture and framework, and generating Investment, Corporate, Commercial and Consumer board level risk reports. This growing group has an expanded mandate that includes Internal Capital, Risk Driver 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:
  • Risk Driver Simulation tool re-design and development. This tool is designed to help understand risk drivers 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 Risk Report 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.