| Job Description | Position Description:
This is an opportunity to join AIG’s brand new VaR team. The Assistant Director will play a huge role in understanding the company’s risk exposures and determining how much capital AIG should set aside. This a highly visible role that will have the potential to significantly impact AIG’s future.
Position Summary:
The Assistant Director will lead the tactical enhancement of the existing VaR methodology to meet immediate objectives. They will serve as the go to person around VaR calculation.
Organization Structure and Interface:
This position will report to a Managing Director that is two levels removed from the Chief Risk Officer. You will regularly interact with IT, Regulatory Reporting, and other business/corporate units throughout AIG.
Performance Objectives:
• Lead the development and implementation of a best in class VaR methodology.
• Document the existing VaR methodology as well as future proposed enhancements.
• Quantify risks not currently captured in the VaR Methodology.
• Develop and running a VaR back-testing process.
• Coordinate with the various business and corporate units to provide regular risk reporting
as inputs into the VaR model.
• Work with IT to fully specify enhancements, test implementations and review potential vendor solutions.
• Work with the Regulatory Reporting team to ensure accuracy and completeness of results.
Position Requirements
The Ideal Candidate Should Have:
• A minimum of 5 years working experience in capital markets with a focus on market risk management. Front office experience is a plus, but not required. Additional VA experience in an insurance company setting will be a plus.
• Hands-on experience with developing and implementing methodology related to portfolio risk management.
• Hands-on experience using a derivatives risk management system.
• Proficiency in Excel, VBA and SQL. Skill in a programming language is a definite plus.
• A graduate degree in finance, operations research, mathematics, physics, engineering or related discipline. |
| | Company | | AIG Financial Products Corporation | Job Code | | State or Province | | Connecticut | | |
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