Quantitative Analyst - Derivatives Valuation Job
Sun America Financial Group - New York, NY

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Quantitative Analyst - Derivatives Valuation

Job ID #: 82307
Location: NY-New York
Functional Area: Finance
Company: 10001 - American International Group, Inc.
Employment Type: Full Time - Permanent
Education Required: Masters Degree (or equivalent)
Experience Required: 6-9 years
Relocation Provided: No
Travel Percentage: 0

Position Description:

• 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.
About Us:

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 Property Casualty is a global market leader, one of the few truly global property casualty franchises.

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.

United Guaranty Corporation is the marketplace leader in mortgage insurance in the U.S.

Additional information about AIG can be found at www.aig.com | YouTube: www.youtube.com/aig | Twitter: @AIG_LatestNews | LinkedIn: http://www.linkedin.com/company/aig