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American International Group
American International Group
Woodland Hills, CA
Job Reference Code
Senior Risk Analyst
About the Job
Position Summary AIG Life and Retirement is the financial services division of AIG specializing in retirement savings and investment products and services. The Market Risk Management Department (MRM) at AIG L&R focuses on the management and hedging of market risks embedded in retirement savings products, especially Variable Annuity Living Benefit guarantees. The department is comprised of a variety of professionals including actuaries, financial engineers, programmers, and risk managers. Total account value for AIG’s variable annuity book is about $30 billion. We are currently looking for a Senior Risk Analyst to join MRM’s Model Development team.
Organization Reporting & Structure This position reports to the Assistant Director of Risk and will interface closely with the broader Market Risk Management team as well as other finance and actuarial professionals.
Performance Objectives Key responsibilities for the position are: • Write specs for valuation and hedging of Variable Annuities and Index Annuities. o The person in this position is expected to develop a detailed understanding of current and previous-generation products, and to participate in internal meetings to stay current with the product development pipeline. o An understanding of economic valuation of annuities is also required, including market data calibration, scenario generation and product features that affect cash flows. • Design and execute test plans o The person in this position is responsible for design and execution of test plans to demonstrate that new functionality is fully consistent with prospectuses, written specs, and other design documents. o Creating and storing technical memos describing test plans and results in accordance with Corporate policies and procedures is a key requirement. • Development and development support o Coordinate closely with the production model’s primary developer, who is responsible for implementing new functionality as per specs. Serve as backup developer as needed. o Support the Department’s Matlab-based research model. • Analysis o Perform ad hoc analytical / quantitative projects as directed. o Understand sources and uses of input data, including both market data and inforce (policyholder) data.
The Ideal Candidate Should Have • Quantitative skills, with a graduate degree in a quantitative field. • One to 3 years of experience in the life insurance or financial services industry. • Software development experience, with working knowledge of C, C++, C# or Matlab. • Comfortable working in a structured environment that emphasizes operational controls and rigorous policies and procedures governing model and software development. • Knowledge of accounting principles and/or derivatives models and valuation techniques a plus.
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