Quantitative Analyst - Derivatives Valuation
American International Group - New York, NY

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• Participate in IVFA’s valuation review of AIG’s derivatives portfolio, including pricing reviews and validation of inputs and methodologies;
• Participate in development and implementation of valuation models and financial analytics tools for derivatives to support the valuation function;
• Participate in model review and validation of models used by various corporate functions;
• Participate in evaluation of third-party solutions (models, data, software, etc.) for structured securities and derivatives, and in-house implementation and validation;
• Interact with Finance personnel and support their analytical needs.

Position Requirements
• M.S. or Ph.D. in a quantitative field;
• 3+ years of experience in the area of valuation (fixed income securities, derivatives, or other financial products), model development, implementation and validation, and/or risk management (market risk, credit risk, asset-liability management);
• Solid understanding of derivative products, including both vanilla and exotics;
• Solid knowledge of derivatives valuation methodologies;
• Strong development skills and especially C++ programming skills;
• Familiarity with Numerix or Algorithmics software a plus;
• Good communication and interpersonal skills.

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