American International Group, Inc., a leading U.S.-based international insurance firm, is seeking an Risk Analyst Lead for its Risk Management Team.
The successful candidate will have an outstanding academic background in quantitative related fields and above 5 years of hands-on experience with credit risk models or credit related modeling experiences.
He/she is expected to have an in-depth understanding of fundamental credit and hands-on experience in credit risk analytic. He/She is also expected to be a good communicator capable of elaborating the analytic works to other professionals across the firm.
Activities and Responsibilities include all aspects of credit risk analytics and model development for AIG core credit asset, insurance credit portfolio and structured products:
• Lead methodology development, back testing and documentation, and support model validation
• Build prototype credit risk models, using Excel, Matlab, Python, R, or C++;
• Work with Market Risk Team and Risk Architecture Team on model implementation and documentation
Job Requirements:
• Master's degree or Ph.D. in statistics, mathematics, physics, computer science, finance, or similar quantitative field.
• 5+ years hand-on working experiences with credit models. The experience with Moody’s RiskFrontier or CreditMetrics desirable.
• Strong background with PD/LGD modeling a plus
· Research experience on Machine Learning is desirable
• In-depth understanding of fundamental credit across asset classes and derivative counterparty credit risk a plus
• Hands-on experiences with Monte Carlo simulation with at least one major programming language desirable.
• Good communicator, energetic, and be able to work independently yet work comfortably as part of a team
• Comfortable communicating with front-office and senior managers.