Sr. Quantitative Derivatives Associate, Quantitative Risk Modeling - Market Risk Management

Alternate Locations: Radnor, PA (Pennsylvania)

 

 Work Arrangement:

Hybrid/Common Days+ : Work 2-3 days a week in a Lincoln office with a designated workspace.

 

Relocation assistance:  will be considered/provided for this opportunity within our company guidelines.

 

Requisition #: 73308

 

The Role at a Glance

An opportunity to join the Quantitative Risk Modeling team within Market Risk Management (MRM), that is responsible for the model development, implementation, and analysis within the annuity hedge programs. The Senior Quantitative Derivatives Associate will be involved in developing and maintaining stochastic, analytical, and machine learning models that combine capital market, actuarial, and quantitative finance disciplines to produce data and analytics that support hedging, pricing and valuation for the annuity business. The role will connect the work of this team to other business areas to help various firm wide initiatives including launching new products, understanding/incorporating regulatory changes, and developing new hedging strategies. The candidate is expected to perform and deliver on assignments to mitigate market risk by identifying and reporting on key risks for both variable and indexed annuities.

What you'll be doing

Technical Knowledge

• Performs operational processes for variable annuities, including stochastic on stochastic projections for future liability greeks calculation and hedging assets/liabilities rebalancing.
• Maintains and updates first principles reference models for variable annuities cashflows calculation.
• Performs stochastic and deterministic economic scenarios generation for various internal assets/liabilities projections
• Develops and implements improvements to MRM’s risk models, workflows, and systems.
• Supports implementation process of existing and new VA/RILA product designs and features.
• Performs ad hoc analyses.

Critical Thinking

• Uses logic and reasoning to identify strengths and weaknesses of alternative solutions, conclusions or approaches to resolve issues.

Organizational Effectiveness

• Identifies and recommends process improvements that significantly reduce workloads or improve quality across the team for his/her assigned area(s) of responsibility. 

Change Management

• Serves as a resource for organizational initiatives by positively influencing and supporting change management and/or departmental/enterprise initiatives within assigned area(s) of responsibility.

Collaboration

• Builds and maintains strong relationships with internal clients and or management, finds common ground and can gain collaboration among management, colleagues and peers; can influence outcomes without directing or commanding.

What we’re looking for

Must-haves:

• 4 Year/Bachelor's degree or equivalent work experience (4 years of experience in lieu of Bachelor's) in Statistics, Mathematics, Hard Science/engineering or Actuarial Science is required.
• Proficiency in a common programming language: Python, R, Java, C#, VB, C++.
• 0-2 years of increasing experience in variable annuity market risk management or related field. Knowledge of capital markets and insurance products including but not limited to annuities.
• Strong analytical, diagnostic and organization skills, ability to communicate to a wide range of technical and non-technical audiences.

Nice-to-haves:

• Masters level or Advanced degree preferred but not required.
• Working knowledge of capital markets instruments, derivatives models, and valuation techniques.
• Strong written and verbal communication skills.
• Proficiency with Excel / VBA
• Experience working with data and interfacing with databases, either SQL or No-SQL
• Ability to read C++/C.
• Ability to handle multiple priorities and adapt to changing priorities as needed.
• Ability to perform in a fast-paced work environment.
• Attention to detail

Application Deadline

Applications for this position will be accepted through September 2nd, 2024, subject to earlier closure due to applicant volume.

 

What’s it like to work here?

At Lincoln Financial Group, we love what we do. We make meaningful contributions each and every day to empower our customers to take charge of their lives. Working alongside dedicated and talented colleagues, we build fulfilling careers and stronger communities through a company that values