Risk Analyst Lead Model Validation, ASA

Job Description
(PCK333-259813) Houston, Texas
AIG has an opportunity for a junior actuary within the Independent Validation Group within Enterprise Risk Management performing independent model validations, which is an integral part of AIG’s overall model risk management strategy.
Candidate would be part of a team of experienced professionals that perform objective reviews and effective challenge of the conceptual soundness, modeling methodology, parameter and actuarial assumptions, model implementation, and identify limitations of models used by the Life & Retirement lines of business.

Candidate would be required to verify that documentation requirements are adhering to AIG Model Risk Policies & Procedures, perform model validation and model integrity check by code review, benchmark testing, stress testing, single cell replication and reviewing model production activities to ensure that risk was accurately assessed, and implemented based on intended purpose of the model of the model, and produce formal model review and validation documentation including an evaluation of the model’s ‘fitness for purpose’ and other model risk metrics as needed.

The candidate would be responsible for conducting independent validation of actuarial/finance model based on various platforms. The candidate would be required to assist the lead validator in reviewing the development and implementation of existing and new models and financial analytical tools for Life & Retirement Services ( L&RS).

This role is technical and requires a fair amount of exposure in dealing with valuation, pricing, hedging, risk models and capital market models of Life & Retirement lines of business

• Must be a compliant member of the Society of Actuaries with ASA designation, with a strong commitment to achieve FSA, and have a M.S. or Ph.D. in statistics, actuarial science, mathematics, economics, or quantitative finance.

• A minimum of 4 years combined actuarial work experience in the insurance industry.
• Experience building and validating models on different platforms like Moses, Prophet, GGY Axis, TAS, ARCVAL, PolySystem, Mat lab, C++ etc.

• Hands-on experience with developing, validating, actuarial models and assumptions of existing and new models .Should demonstrate solid understanding of actuarial principles and other insurance related topics

• This role is highly quantitative. The person must have a good understanding of actuarial related computational methodologies, policies and procedures of various disciplines like valuation, pricing and risk function.

The person must have good technical skills, must be a team player, willing to learn things, and must effectively communicate the technical and non-technical findings of the model review internally and to senior member of the business units

• Excellent analytical, critical thinking, with a demonstrated ability to synthesize various sources of data, make sound decisions.

• High level of initiative, ability to work independently, including strong organizational skills exhibited through a proven ability to balance multiple projects , prioritize appropriately, and to produce results under tight time constraints.

- See more at: http://www.aplitrak.com/?adid=am9icy45MTcyOC4xNzYwQGFpZy5hcGxpdHJhay5jb20#sthash.W6cgnwNM.dpuf

Company

American International Group AIG

Job Code

State or Province

Texas

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