Testing Lead of Assets/ALM Modeling

New York NY
April 04 2018
Insurance, Securities
Functional Area:

AC - Actuarial

Estimated Travel Percentage (%): Up to 25%

Relocation Provided: Yes

American General Life Insurance Company

Position can be based in New York, Berkeley Heights, NJ, Houston, TX or Woodland Hills, CA

As part of the AXIS testing team, the testing lead of Assets/ALM will report directly to AIG L&R Head of VA and Assets/ALM testing in the AXIS Modeling team. The testing lead of Assets/ALM will act as the lead for AIG's effort to modernize and transform the AIG L&R's modeling and testing process in assets/ALM space. The models developed on GGY-AXIS platform will be used to produce statutory, GAAP and economic projections which will directly support capital management, asset liability management, and regulatory projections such as cash flow testing. This individual will manage a team across the US and abroad. This individual will have frequent and regular interact with other testing teams, model developers, model owners, the model production team, the Business Unit Chief Finance Actuaries, and key partners in Enterprise Risk management and IT teams.

Role and Responsibilities:

  • Lead the Assets/ALM testing team to maintain the asset aspect of AXIS models for all product lines and deliver the model to stakeholders according to the set priorities.
  • Keep the asset model up to date with new product offerings.
  • Test and maintain economic model calibration process and economic scenario generators (Hull White Model, Bates Model, Local Volatility Model, Inverse Gamma Model etc.).
  • Test and maintain general account asset models (fixed income, equity) in GGY-AXIS for various valuation frameworks, including but not limited to CFT, AG43, VM20, and PBR.
  • Test and maintain reinvestment strategies and hedging strategies for financial forecasting.
  • Test and maintain structured asset projection as externally projected asset.
  • Implement required assumption unlocking related to assets.
  • Improve asset and market data specification and automation. Work with data team to identify issues in current data process and research on solutions.
  • Follow the software development cycle. Deliver model with automated production process and controls. Work on impact attribution and user acceptance testing.

The Ideal Candidate Should Have

  • M.S. or Ph.D. degree in a quantitative field (Applied Math, Financial Mathematics, Financial Engineering or related) is preferred
  • Actuarial experience is a plus but not required
  • 5+ years of relevant financial modeling, derivative pricing and general account asset modeling experience is required
  • Previous management experience is required
  • Proficiency in at least one programming language, C++, C#, VBA, or Python is a plus
  • Proficiency in at least one actuarial valuation system such as GGY AXIS experience is a plus but not required
  • Strong communication (oral and written) skills and demonstrated ability to work with internal stakeholders
  • Solid project management and organizational skills to work on multiple priorities, establish and meet deadlines
  • Self-motivated, ability to deliver results under stressful environment, and attention to details

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.