comp.jobs.computers

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Job Title: Quantitative Developer
Job Location: NY: New York
Pay Rate: Open
Job Length: full time
Start Date: 2008-03-26

Company Name: American International Group
Contact: Recruiter
Phone: email only please
Fax: email only please

Description: Job ID #:-a-aCLG-ERM-QD

Position Title:-a-aQuantitative Developer

Location:-a-a

Functional Area:-a-aRisk Mgmt Company Name:-a-aAIG Corporate Employment Type:-a-aFull Time - Regular Education Preferred:-a-aMasters Experience Required:-a-a6-9 years Relocation Provided:-a-aNo

Position Description: Mid-level Quantitative Developer This position will partner with the Quantitative Analysts in ERM QA to develop the risk/valuation software required to provide effective analytical support to the rest of ERM and other AIG business units. The Quantitative Analysis Department is responsible for analytical modeling in areas of Market, Credit and Operational Risk, is involved in development of models for Economic Capital and Asset & Liability analyses and assists in deployment of risk analytics systems throughout AIG. Key initiatives that this position would focus include the following: - Develop expertise (via training) in the Risk++ instrument valuation framework provided with the Algorithmics suite of software. Assist Quantitative Analysts in the implementation of bespoke analytics (pricing functions, term structure models, etc.). - Develop expertise (via training) in the use of analytical software (e.g., RiskWatch, Matlab, Numerix, etc.) in order serve as a supplemental resource for performing ad hoc instrument valuations (i.e., as requirements for instrument valuations arise from the FAS 157 and Global Security Pricing initiatives). - Define requirements for and drive the implementation of an analytical framework for structured credit products. Components of framework would include: an underlying collateral database; pre-payment and loan default models; an integration layer with third party valuation and cash flow generation models (e.g., Intex and Andrew Davidson). Additional Requirements - Demonstrated ability to correctly parameterize, calibrate and use 3rd party (or bespoke) financial instrument pricing models. - Maintain a working knowledge of capital markets instruments (fixed income, equities, FX, and credit) and develop basic understanding of insurance liabilities and their imbedded risks. Qualifications - Someone who will collaborate as an integral partner with quantitative investment professionals to develop technology solutions which deliver competitive advantage. Analytical approach with a strong ability to uncover and resolve business problems and develop solutions. - Strong verbal and written communication ability is required. Must be able to communicate with finance specialists in non-technical and financial terms. - Demonstrated ability to develop effective relationships with peers in the business and technology organizations. - Ability to work as part of and with high performing and aggressive teams. - Effective listener, who can give timely and constructive feedback. Is willing to state opinions assertively and deals constructively with conflict situations. - Ability to understand and communicate the impacts of system changes to business partners. - Track record of delivering innovative approaches and solutions Prerequisites - Prior experience in developing mathematical financial models including stochastic calculus and monte carlo simulation. Knowledge of and working experience with any of the following analytical libraries a strong plus: â• a Algorithmics Risk++ â• a Numerix â• a Matlab - At least five years experience developing systems with Java, or C++ and relational databases. Relational database experience should include evidence of strong working knowledge of SQL, stored procedures, and designing basic database schemas. Hands on experience with Oracle 9i or greater a strong plus. - Advanced degree in a quantitative discipline (applied math, quantitative finance, physics, engineering, computer science) from an accredited college or university.

Position Requirements:

About AIG: American International Group, Inc. (AIG) is the worlds leading international insurance and financial services organization, with operations in more than 130 countries and jurisdictions. AIG member companies serve commercial, institutional and individual customers through the most extensive worldwide property-casualty and life insurance networks of any insurer. In the United States, AIG companies are the largest underwriters of commercial and industrial insurance and AIG American General is a top-ranked life insurer. AIGs global businesses also include retirement services, financial services and asset management. AIGs financial services businesses include aircraft leasing, financial products, trading and market making. AIGs growing global consumer finance business is led in the United States by American General Finance. AIG also has one of the largest U.S. retirement services businesses through AIG SunAmerica and AIG VALIC, and is a leader in asset management for the individual and institutional markets, with specialized investment management capabilities in equities, fixed income, alternative investments and real estate. AIGs common stock is listed in the U.S. on the New York Stock Exchange and ArcaEx, as well as the stock exchanges in London, Paris, Switzerland and Tokyo. AIG is an Equal Opportunity Employer.




Please refer to Job code aig-pck33390476 when responding to this ad.


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