Managing Director Model Risk Management, Governance
One of the largest global insurers is seeking qualified candidates to join the Independent Validation (IV) unit within the Corporate Enterprise Risk Management function. Interested individuals will have a unique opportunity to obtain a broad perspective on the analytical capabilities of a firm with a highly complex balance sheet with extremely diverse assets and liabilities. Analytical models requiring review and effective challenge span from variable and fixed annuities, predictive premium pricing and natural catastrophe models, to complex structured products and economic capital models. Establishing and executing on an effective Model Risk Management has been identified as strategic objective by Senior Management ensuring the active engagement of model owners and the availability of analytical tools and resources.
Independent Validation is looking for a senior member of the Model Risk Management (MRM) team to focus on the review and validation of models related to measurement of economic and regulatory capital with an emphasis on portfolio credit risk.
This person will be part of a team of experienced professionals that would carry out the model review of risk, capital, and portfolio credit models that span the firm's entire balance sheet (Property Casualty, Life and Retirement Services, Invested Assets and Derivatives). Independent Validation will provide the effective challenge of the modeling methodology, parameters and assumptions test the model implementation through code review and / or benchmarking, work with the Business Sponsor and Model Developer in improving the model analytics and structure delivering a consistent view on risk and capital. Independent validation is an integral part of firm's overall model risk management strategy. This person will be working with the model owners in identifying model risk issues and following through on their resolutions, discussing these issues with senior management in the business and corporate, as well as, to external stakeholders including the firm's Federal and State Regulators, and external auditors.
* Masters degree in quantitative field (e.g., Statistics, Economics, Operations Research, Financial Engineering, Applied Math, or equivalent)
* At least 10+ years experience in capital markets portfolio credit and statistical modeling
* Solid understanding of the tools and software used in measuring and managing portfolio credit risk (e.g., Algorithmics, Moody's KMV RiskFrontier, Kamakura, etc.)
* Understanding and experience calibrating and using Economic Scenario Generation tools (e.g., Barrie Hibbert).
* Understand and facility with the use of statistical techniques to model tail risk and integrate marginal loss distributions (e.g., Extreme Value Theory, Copula's, etc.)
* Strong programming experience (e.g., Matlab, VBA, C/C++, SAS)
* Advanced knowledge of Stochastic Calculus, Brownian Motion and PDE Modeling
* Demonstrated skills utilizing high level computations mathematic skills inclusive of finite difference, Monte Carlo methods
* Demonstrated ability to interact and work with peers and with senior management in a highly collegial manner
* Ability to influence and guide across departmental boundaries
* Strong written and oral communication skills
* Strong presentation skills
* Ability to manage, coordinate and facilitate multiple initiatives in a fast paced, dynamic environment
About AIG
American International Group, Inc. (AIG) is a leading international insurance organization serving customers in more than 130 countries and jurisdictions. AIG companies serve commercial, institutional, and individual customers through one of the most extensive worldwide property-casualty networks of any insurer. In addition, AIG companies are leading providers of life insurance and retirement services in the United States.
AIG Property Casualty is a global market leader, one of the few truly global property casualty franchises.
AIG Life and Retirement is one of the largest life insurance organizations in the U.S., and provides protection, investment and income solutions needed for financial and retirement security.
United Guaranty Corporation is the marketplace leader in mortgage insurance in the U.S.
Additional information about AIG can be found at www.aig.com | YouTube: www.youtube.com/aig | Twitter: @AIG_LatestNews | LinkedIn: www.linkedin.com/company/aig
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