Senior Quantitative Analyst recruitment
Major Functions: * Provide programming and overall quantitative analytical support for the non-Agency RMBS portfolio and the various other Structured Product asset classes. * Manage models used by the Structured Products Group including Loan Performance RiskModel, Andrew Davidson, PPR, etc. - Work closely with research analysts and portfolio managers to analyze model performance, including benchmarking of models against current market data. - Recommend model calibration and tuning. - Testing and analysis of model updates and new models. - Oversee ongoing model compliance including validation, stress testing, etc. * Develop and implement new solutions to assist in the portfolio management of the structured products portfolios including automation of various analytical tasks. * Ad hoc quantitative projects and analysis Qualifications: * 7-10 years experience * Master Degree or equivalent in Mathematics, Computer Science or Financial Engineering * Excellent quantitative ability and strong communications skills * Strong knowledge of structured products markets and instruments, with an emphasis on non agency RMBS * Familiarity with modeling techniques for structured products (default and loss models, prepayment modeling, HPA models, etc). Experience in working with loan level mortgage data (LoanPerformance Database) * Advanced computer system skills. Proficient in database and SQL, scripting languages and high level computer languages such as C++ and Visual Basic * Technical expertise in using fixed income analytical systems such as Bloomberg, Intex, YieldBook, Factset Fixed Income Manager, Polypaths, etc. * Strong interpersonal skills and ability to lead people who do not report directly through collaboration and influence
About Us
American International Group, Inc. (AIG), a world leader in insurance and financial services, is the leading international insurance organization with operations in more than 130 countries and jurisdictions. AIG companies serve commercial, institutional and individual customers through the most extensive worldwide property-casualty and life insurance networks of any insurer. In addition, AIG companies are leading providers of retirement services, financial services and asset management around the world. AIG's common stock is listed on the New York Stock Exchange, as well as the stock exchanges in Ireland and Tokyo.
AIG is an Equal Opportunity Employer
