Quantitative Analyst/Developer

New York NY
October 20 2018
Insurance, Securities
Functional Area:

IN - Investment

Estimated Travel Percentage (%): No Travel

Relocation Provided: No


Job ID: JR1804866 Quantitative Analyst/Developer

Your Future Team

The Investment Analytics team is looking for a quantitative developer to join its asset liability modeling team. The person in this role will work with senior quants and will get great exposure to pricing and risk analytics of interest rate, equity derivatives as well as liability products.

Your Contribution at AIG

  • Develop interest rate models and equity volatility models
  • Build risk analytics system for hedging and risk management
  • Perform historical statistical analysis and build time series forecasting models
  • Work with other teams to integrate quant library into production systems

What we are looking for

  • At least 2 years of work experience in developing quantitative fixed income/equity pricing models
  • Strong understanding of risk neutral pricing and stochastic calculus
  • Strong proficiency in C++ (a must), C# and one other scripting language and write efficient code
  • Solid background in mathematics, including statistics, time series analysis, stochastics, optimization, etc.
  • Great problem solving skills and capability of doing independent research

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.