Quant Developer

Woodland Hills CA
April 19 2018
Insurance, Securities
Functional Area:

RK - Risk

Estimated Travel Percentage (%): Up to 25%

Relocation Provided: Yes

American General Life Insurance Company

  • The Role

    The Market Risk Management team manages a $50+ billion multi-asset book with responsibilities that range from: hedging, model generation, and new product design. We need a talented quant developer with strong programming skills to join our team.

  • Work under the direction of Market Risk Management's Head of Strategy and Product Development, in a multi-disciplinary team:
    • Build and modify models used to prototype Index Annuities and Variable Annuities.
    • The role will involve writing and modifying code implementing mathematical models used to price, hedge and evaluate Index Annuities (IAs), Variable Annuities (VAs) and other products designed to save for and/or generate income in retirement.
    • Given the complexity of these models the primary modelling technique is stochastic simulation (Monte Carlo Simulation).
    • Further, the role will involve a combination of adapting existing code, taking research models implemented in Matlab, or similar software, and making the code more efficient, and writing new code.
    • Knowledge of modern scientific programming techniques (efficient implementation of numerical methods and parallel computing) is essential for this role.
  • Write code to pull and organize data from internal databases and from financial information systems such as Bloomberg
    • The MRM group's models take in and use both public financial data (prices of market instruments, etc) and details of IA and VA policies stored in proprietary corporate databases. For this reason writing to and reading from RDBMS and proprietary financial databases such as Bloomberg is necessary in this role.
  • Organize, refactor and document code.
    • Because there a multiple users of the group's code and because the group operates in a regulated environment proper documentation of the group's software is essential.

  • Candidate Profile

    • Bachelor's degree in a numerate subject (Physical Science, Engineering, Mathematics, Economics or Computer Science).

    • Training and significant experience in scientific programming

    o Knowledge of and Experience in writing Matlab or similar matrix orientated (R/Python) code.

    o Knowledge and experience in C/C++.

    o Training/experience in numerical techniques and parallel computing.

    o Experience writing code for numerically intensive computations.

    • Experience developing professional quality software

    o The candidate should have significant experience developing software for sale or for use outside the group of developers.

    o He or she should also be able to demonstrate an ability to comment and document code to professional standards.

    • Training and experience in modelling Financial Market Instruments or an MFE

    o Whilst not essential the candidate will ideally have some experience with and knowledge of financial derivatives and risk neutral pricing methods or a Master of Financial Engineering degree.

    • Good communication skills.

    o The role is part of a multi-disciplinary team and will involve extensive discussions with other team members and writing reports for both technical and wider audiences. It requires an open individual who is keen to learn and has good communication skills.

    • Knowledge of and experience with standard business software packages.

    o We use MS Excel extensively for basic statistical and mathematical analysis and for communicating data within the group and to other groups. MS Word and MS Powerpoint are also widely used for reports and presentations.

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.