Sr. Quantitative Derivative Associate

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:  is not available for this opportunity.

 

Requisition #: 73535

 

The Role at a Glance

We are excited to bring on a motivated Sr. Quantitative Derivatives Associate to our Market Risk Management (MRM) team. In this role, you will be responsible for the development, maintenance, and analysis of models for Lincoln’s General Account assets. You will be involved in maintaining and improving the existing internal credit risk projection system, as well as prototyping and implementing quantitative and analytical tools for risk mitigation, financial planning, and other investment purposes such as single asset allocation (SAA). Additionally, you will develop other in-house models upon request. 

What you'll be doing

1. Maintain and Improve the Internal Credit Risk Projection System 

• Thoroughly understand the system, including the underlying mathematics. 
• Investigate mathematical methodologies to improve accuracy and runtime. 
• Collaborate with other teams on assumption modeling and manage updates from both external and internal sources. 
• Manage the large amount of input and output data for the system, working with IT to enhance the production system’s workflow. 
• Handle ad-hoc analytical requests by performing runs on AWS, delivering analytical results, and providing explanations. 
• Implement new features requested by other teams. 

 

2. Collaborate on Research Topics Related to General Account Asset Management 

• Brainstorm with senior members to generate innovative ideas and solutions. 
• Build ad-hoc tools for research ideas and implement prototype models using Python, translating mathematical concepts into code within a limited timeframe. 
• Analyze results and provide conclusions and explanations. 

 

3. Develop Other In-House Models Upon Request 

• Fixed income asset projection along with rates projection. 
• Scenario generation. 
• Asset and liability modeling for annuity and life insurance products. 
• Hedging strategy research. 

What we’re looking for

• Bachelor’s degree in Mathematics, Physics, Engineering, or Finance. 
• Masters or Ph.d in Mathematics or related field  
• Solid background in financial mathematics and statistics.  
• 1-3 years experience in Python or R with strong programming skills.  
• 1-3 years experience in database and data visualization. 
• 1-3 years of increasing experience in risk management for fixed income or related field. 

Nice to Have: 

• Previous experience in credit risk modeling 

Application Deadline

Applications for this position will be accepted through September 23rd, 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 our unique perspectives, insights and contributions and invests in programs that empower each of us to take charge of our own future. 

 

What’s in it for you:

• Clearly defined career tracks and job levels, along with associated behaviors for each Lincoln leadership Attribute.

• Leadership development and virtual training opportunities

• PTO/parental leave

• Competitive 401K and employee benefits

• Free financial counseling, health coaching and employee assistance program

• Tuition assistance program

• A leadership team that prioritizes your health and well-being; offering a remote work environment and flexible work hybrid situations

• Effective productivity/technology tools and training

 

The pay range for this position is $53,500 - $92,500 with anticipated pay for new hires between the minimum and midpoint of the range and could vary above and below the listed range as permitted by applicable law. Pay is based on non-discriminatory factors including but not limited to work experience, education, location, licensure requirements, proficiency and qualifications required for the role. The base pay is just one