Senior Quantatitve Analyst - Risk Model Validation

Job Description
Position Description:

AIG Property & Casualty, a top tier global P&C insurance company based in downtown Manhattan, New York, is offering an exciting opportunity for an enthusiastic and capable Analyst to join a newly-formed Model Risk Management group within our rapidly growing Science organization. As an Analyst, you will support the end-to-end model validation process as a steward of model risk for the enterprise.

Position Summary:

The group is responsible for validating and approving all qualifying models. These models primarily are employed for pricing and risk measurement of personal and commercial insurance products, including earthquake and hurricane CAT models, global auto, GLM-based risk segmentation, loss reserve and loss volatility and economic capital.

Organization Structure and Interface:

This position will report to a Manager/Director Quantitative Analytics that in turn reports to the Head of Science, Model Risk Management. You will regularly interact and collaborate with other analytic professionals within the Chartis Science Team in an effort to assist internal clients with the decision-making process.

Performance Objectives:

Prepare data and tables for presentation of analyses.

Assess theoretical and conceptual soundness of each model.

Verify model performance, i.e. correct implementation, limiting behavior, response to stress/extreme input conditions.

Inventory all key underlying assumptions of each model and quantify the degree of incumbent model risk.

Interpret test results within the context of model applicability.

Write validation reports distilling the relevant results of theoretical review and testing, calling attention to areas of concern and/or uncertainty.

Evaluate third-party solutions (models, data, software).

Partner with business to require immediate changes or suggest future improvements to the model.

Position Requirements
The Ideal Candidate Should Have:

Experience performing analyses independently under a pre-defined framework, particularly involving large data sets, including building and/or applying statistical models

Providing support in the development of practical business recommendations and evaluating associated financial impact

Strong preference for individuals with experience in financial model development or validation.

The ability to work effectively with a wide range of business partners including underwriters, risk, finance, operations, technology and senior management.

Masters degree/Ph.D. in quantitative discipline (e.g. Statistics, Mathematical Finance, Mathematics, Economics, Operations Research, Physics, Engineering, Computer Science).



Job Code

State or Province

New York

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