Senior Quantitative Risk Analyst
RK - Risk
Estimated Travel Percentage (%): Up to 25%
Relocation Provided: Yes
American General Life Insurance Company
Senior Quantitative Risk Analyst
Market Risk Management is a multi-disciplinary financial derivatives team that applies state-of-the-art technology in performing highly dynamic work. Our mandate is to manage one of the most complex derivatives available today: retirement living benefit guarantees. In service of that mandate we: manage a $50 billion+ multi-asset hedging portfolio, do research and development of new retirement products, and provide modeling and analytics expertise for the business. We are part of a larger organization, but cultivate the entrepreneurial spirit of a small start-up. Our work is cutting edge within the industry.
The Modeling Team develops, tests, and maintains the valuation framework to support the management of the hedging portfolio. The team also manages the automation around the daily large-scale Monte-Carlo simulations used to value the 300K+ customer accounts we manage. We are seeking team members to help us maintain and enhance a best in class valuation framework.
We need a talented quantitative risk analyst with strong programming skills to join our team. This analyst will work with the MRM modelling team and will be responsible for creating and maintaining code for both assets and liabilities.
Variable annuities (VA) and index annuities (IA) are complex exotic options that require sophisticated math, finance and computer science skills to correctly model. In order to hedge portfolios of these policies on a daily basis careful attention must paid to the platform and how all the components interact. We are looking for a candidate that can bring all of these skills to the table to help us build and maintain a best in class valuation framework.
Our ideal candidate will have experience in a financial engineering capacity however we are open to candidates with no financial experience.
- Code hedging and valuation frameworks in C++/C#/Python.
- Apply and promote software development best practices to encourage the design of correct, performant and flexible code.
- Document code structures and create unit/regression tests.
- Engage with stakeholders across different teams to ensure system specifications and implementations accurately reflect the business requirements.
- Work closely with IT to release code into the production framework.
- Work closely with Operations Team and IT Team to ensure successful systems operation.
The successful candidate must have a strong track record as a financial engineer or related capacity, including:
- Strong academic record in a subject(s) with a strong computational emphasis (e.g. computer science, engineering, applied math, computational science, etc.); bachelor's degree required; master's degree a plus.
- 5+ years of experience.
- Knowledge of and experience creating production quality code.
- Strong programming experience in Python and/or C#/Java and/or C++.
- CUDA experience a plus.
- Good written and verbal communication skills.
- The ability to work within a large and diverse team.
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 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.
Woodland Hills is a district in the city of Los Angeles, California, United States. Woodland Hills is bordered by Calabasas, Tarzana and Topanga. It is a short hop from the famous beaches of Malibu and is short distance from center city Los Angeles.
It has been and will continue to be the policy of American International Group, Inc., its subsidiaries and affiliates to be an Equal Opportunity Employer. We provide equal opportunity to all qualified individuals regardless of race, color, religion, age, gender, gender expression, national origin, veteran status, disability or any other legally protected categories.
At AIG, we believe that diversity and inclusion are critical to our future and our mission - creating a foundation for a creative workplace that leads to innovation, growth, and profitability. Through a wide variety of programs and initiatives, we invest in each employee, seeking to ensure that our people are not only respected as individuals, but also truly valued for their unique perspectives.
We consider qualified applicants with criminal histories, consistent with applicable law.