Assistant Director Model Risk Management (PCK333-219094) New York County, New York

One of the largest global insurers is seeking qualified candidates to join the Independent Validation unit within the Corporate Enterprise Risk Management function. Interested individuals will have a unique opportunity to obtain a broad perspective on the analytical capabilities of a firm with a highly complex balance sheet with extremely diverse assets and liabilities. Analytical models requiring review and effective challenge span from variable and fixed annuities, predictive premium pricing and natural catastrophe models, to complex structured products and economic capital models. Establishing and executing an effective Model Risk Management has been identified as strategic objective by Senior Management ensuring the active engagement of model owners and the availability of analytical tools and resources.

AIG PC has an opportunity for an Assistant Director within the newly-formed Model Risk Management group within Enterprise Risk Management.

The role will report to a Director in AIG PC Model Risk Management.

• Supporting the implementation of AIG’s model governance program in Property and Casualty focused on Nat Cat models
• Assisting modelers in establishing standards for managing and measuring model risk
• Implementing good governance processes, documentation and model performance metrics
• Consulting with model developers and users on the design of effective model operational controls
• Performing independent validation of various models in Property Casualty and managing the resolution of findings with model developers and users. Validation includes the assessment of model conceptual soundness, evaluation of data and assumptions, testing model computational accuracy, and performing outcomes analysis (such as back-testing and benchmarking)
• Applying methodologies and techniques to validate and assess model risks that include actuarial and statistical models
• Communicate and present effectively on the model risk validation results and on-going model performance to senior management and risk committees

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• Typically requires advance degree in engineering, weather, or other natural catastrophe related sciences
• 6-9 years of experience within insurance or reinsurance industry
• Detail knowledge of vendor produced industry catastrophe models and their limitations
• Proven track record of strong technical model development
• Demonstrated project management capabilities
• Excellent written and verbal communication skills
• Proactive, results-oriented and willing to be held accountable
• Demonstrated ability to deal with multiple issues simultaneously and to handle ambiguity and accountability while not always being in direct control of all areas involved
• Effective interpersonal and communication skills conducive to forming strong relationships with internal as well as external groups, and ability to work effectively with a wide range of business partners including underwriters, risk, finance, operations, technology and senior management.
• Competency programming in languages such as VBA, MATLAB, C++, Python

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